Data cloning: maximum likelihood estimation of DSGE models

DOI10.1016/j.rinam.2020.100121zbMath1466.62456OpenAlexW2184016365MaRDI QIDQ831399

Luiz Gustavo C. Furlani, Marcelo S. Portugal, Márcio Poletti Laurini

Publication date: 11 May 2021

Published in: Results in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.rinam.2020.100121

zbMATH Keywords

likelihood estimationBayesian asymptoticsdynamic stochastic general equilibrium (DSGE)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Monte Carlo methods (65C05) Stochastic approximation (62L20) Dynamic stochastic general equilibrium theory (91B51) Statistical aspects of big data and data science (62R07)

Uses Software

• Dynare

Cites Work

• Unnamed Item
• Methods to estimate dynamic stochastic general equilibrium models
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Hidden Dangers of Specifying Noninformative Priors

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