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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)
New Economics Papers: this item is included in nep-dge
Date: 2018-10
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