Tractable Likelihood-Based Estimation of Non-Linear DSGE Models

This paper presents a simple and fast maximum likelihood estimation method for nonlinear 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

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Year of publication:	2017
Authors:	Kollmann, Robert
Publisher:	[2017]: [S.l.] : SSRN
Subject:	DSGE-Modell \| DSGE model \| Theorie \| Theory \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Nichtlineare Dynamik \| Nonlinear dynamics

Extent:	1 Online-Ressource (19 p)
Series:	CAMA Working Paper ; No. 55/2017
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 31, 2017 erstellt
Other identifiers:	10.2139/ssrn.3030475 [DOI]
Classification:	C51 - Model Construction and Estimation ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models ; E37 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012948561