A Composite Likelihood Approach for Dynamic Structural Models
41 Pages Posted: 20 Aug 2018 Last revised: 21 Feb 2019
Date Written: 2018-07-23
We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.
Keywords: dynamic structural models, composite likelihood, identification, singularity, large scale models, panel data
JEL Classification: C10, E27, E32
Suggested Citation: Suggested Citation