A Composite Likelihood Approach for Dynamic Structural Models
Fabio Canova () and
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Christian Matthes: Federal Reserve Bank of Richmond, https://www.richmondfed.org/research/economists/bios/matthes_bio
No 18-12, Working Paper from Federal Reserve Bank of Richmond
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. 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)
JEL-codes: C10 E27 E32 (search for similar items in EconPapers)
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