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A composite likelihood approach for dynamic structural models

Fabio Canova and Christian Matthes

No 13245, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 justifies existing practices. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.

Keywords: composite likelihood; dynamic structural models; identification; large scale models; panel data; singularity (search for similar items in EconPapers)
JEL-codes: C10 E27 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018-10
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