A composite likelihood approach for dynamic structural models
Fabio Canova () and
Christian Matthes ()
No No 10/2018, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems and formally justi?es existing practices. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.
Keywords: Dynamic structural models; composite likelihood; identification; singularity; large scale models; panel data (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://brage.bibsys.no/xmlui/bitstream/handle/112 ... quence=1&isAllowed=y
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0068
Access Statistics for this paper
More papers in Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Contact information at EDIRC.
Bibliographic data for series maintained by Helene Olsen ().