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

Abstract: 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)
Pages: 44 pages
Date: 2018-10
New Economics Papers: this item is included in nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://brage.bibsys.no/xmlui/bitstream/handle/112 ... quence=1&isAllowed=y
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to brage.bibsys.no:443 (nodename nor servname provided, or not known)

Related works:
Journal Article: A Composite Likelihood Approach for Dynamic Structural Models (2021)
Working Paper: A composite likelihood approach for dynamic structural models (2018)
Working Paper: A Composite Likelihood Approach for Dynamic Structural Models (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().