Tractable Likelihood-Based Estimation of Non-Linear DSGE Models
Robert Kollmann ()
No 12262, CEPR Discussion Papers from C.E.P.R. Discussion Papers
This paper presents a simple and fast maximum likelihood estimation method for non-linear DSGE models that are solved using a second- (or higher-) order accurate approximation. The method requires that the number of observables equals the number of exogenous shocks. Exogenous innovations are extracted recursively by inverting the observation equation, which allows easy computation of the likelihood function.
Keywords: Estimation of non-linear DSGE models; observation equation inversion (search for similar items in EconPapers)
JEL-codes: C51 C63 C68 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at email@example.com
Journal Article: Tractable likelihood-based estimation of non-linear DSGE models (2017)
Working Paper: Tractable likelihood-based estimation of non- linear DSGE models (2017)
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:cpr:ceprdp:12262
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=12262
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().