Hi Johannes,
thank you for your quick response. I had seen the footnote in Smets and Wouters (2007), and in our estimation we also find that the laplace approximation and the HME yield results which are very close. However, in our application they still yield different answers to the question which model is preferred by the data, so it would be interesting to know whether any method is considered as better. Smets and Wouters (2007) cite the computational advantage of the laplace approximation, but don’t really say which method is more accurate. Would you say that none of the methods is necessarily better?
Best,
Ansgar