Download This PaperTractable Likelihood-Based Estimation of Non-Linear DSGE Models
19 Pages Posted: 5 Sep 2017
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Tractable Likelihood-Based Estimation of Non-Linear DSGE Models
CAMA Working Paper No. 55/2017
Number of pages: 19
Posted: 05 Sep 2017
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Tractable Likelihood-Based Estimation of Non-Linear DSGE Models
CEPR Discussion Paper No. DP12262
Number of pages: 20
Posted: 11 Sep 2017
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: 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
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