Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter

This paper derives a method for constructing the likelihood function of a general class of linearized dynamic general equilibrium models that does not require the application of the Kalman filter. The method easily handles models in which variables are observed with error.

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Year of publication:	2010
Authors:	Schmitt-Grohé, Stephanie ; Uribe, Martín
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 109.2010, 3, p. 142-143
Publisher:	Elsevier
Subject:	DSGE models Likelihood function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866887