Tractable Likelihood-Based Estimation of Non-Linear DSGE Models

19 Pages Posted: 5 Sep 2017

See all articles by Robert Kollmann

Robert Kollmann

ECARES, Université Libre de Bruxelles; University of Paris XII - Department of Economics; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: August 31, 2017

Abstract

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.

Keywords: Estimation of Non-Linear DSGE Models, Observation Equation Inversion

JEL Classification: C51, C63, C68, E37

Suggested Citation

Kollmann, Robert, Tractable Likelihood-Based Estimation of Non-Linear DSGE Models (August 31, 2017). CAMA Working Paper No. 55/2017, Available at SSRN: https://ssrn.com/abstract=3030475 or http://dx.doi.org/10.2139/ssrn.3030475

Robert Kollmann (Contact Author)

ECARES, Université Libre de Bruxelles ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

University of Paris XII - Department of Economics ( email )

61 avenue du General de Gaulle
Creteil cedex, 94010
France

HOME PAGE: http://www.robertkollmann.com

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
7
Abstract Views
232
PlumX Metrics