Likelihood evaluation of models with occasionally binding constraints

Pablo Cuba‐Borda, Luca Guerrieri, Matteo Iacoviello and Molin Zhong
Authors registered in the RePEc Author Service: Pablo Cuba-Borda

Journal of Applied Econometrics, 2019, vol. 34, issue 7, 1073-1085

Abstract: Applied researchers interested in estimating key parameters of dynamic stochastic general equilibrium models face an array of choices regarding numerical solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We document how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.

Date: 2019
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Citations: View citations in EconPapers (26)

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https://doi.org/10.1002/jae.2729

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Working Paper: Likelihood Evaluation of Models with Occasionally Binding Constraints (2019)
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