Empirical Methods: Frequentist Estimation

Alfonso Novales, Esther Fernández and Jesus Ruiz

Chapter 10 in Economic Growth, 2022, pp 539-579 from Springer

Abstract: Abstract The chapter starts with the Generalized Method of Moments estimator, describing its main properties, and applying it to the estimation of an equilibrium asset pricing model. After that, we explain the implementation of the Maximum Likelihood estimator. The Kalman filter, the main tool for the numerical evaluation of the likelihood on the state-space representation of the model, is discussed in detail. We estimate cyclical and trend components in US GDP and the unemployment rate. Finally, we compute the ML estimator to the Hansen (Journal of Monetary Economics 16:309–327, 1985) model of indivisible labor. We explain MATLAB programs provided to estimate structural parameters and generate some interesting properties of Growth models, as impulse responses to supply and demand shocks, and the decomposition of the variance of forecast errors.

Keywords: Generalized method of moments; Maximum likelihood; State-space representation; Kalman filter (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-662-63982-5_10

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DOI: 10.1007/978-3-662-63982-5_10

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