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A Composite Likelihood Approach for Dynamic Structural Models

Fabio Canova () and Christian Matthes
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Christian Matthes: Federal Reserve Bank of Richmond,

No 18-12, Working Paper from Federal Reserve Bank of Richmond

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. 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)
New Economics Papers: this item is included in nep-ecm and nep-mac
Date: 2018-07-23
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Handle: RePEc:fip:fedrwp:18-12