Frequentist inference in weakly identified dynamic stochastic general equilibrium models

DOI10.3982/QE306zbMath1419.91452WikidataQ57426493 ScholiaQ57426493MaRDI QIDQ4645443

Atsushi Inoue, Lutz Kilian, Pablo A. Guerron-Quintana

Publication date: 10 January 2019

Published in: Quantitative Economics (Search for Journal in Brave)

zbMATH Keywords

identificationlikelihood ratioBayes factorinferenceconfidence setsDSGE models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Related Items (7)

Impulse response matching estimators for DSGE models ⋮ DSGE pileups ⋮ Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models ⋮ Quasi-Bayesian model selection ⋮ Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Projection-based inference with particle swarm optimization

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