Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter

Stephanie Schmitt-Grohe and Martín Uribe ()

Economics Letters, 2010, vol. 109, issue 3, 142-143

Abstract: This paper derives a method for constructing the likelihood function of a general class of linearized dynamic general equilibrium models that does not require the application of the Kalman filter. The method easily handles models in which variables are observed with error.

Keywords: DSGE; models; Likelihood; function (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:109:y:2010:i:3:p:142-143

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