偶有约束模型的似然评估

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-04-01 DOI:10.17016/FEDS.2019.028

Pablo Cuba-Borda, L. Guerrieri, Matteo Iacoviello, M. Zhong

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引用次数: 17

摘要

对DSGE模型关键参数估计感兴趣的应用研究人员在数值解和估计方法方面面临着一系列选择。我们关注偶尔绑定约束的模型的似然评估。我们记录了与测量误差处理相关的解近似误差和似然错配如何相互作用和相互复合。

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Likelihood Evaluation of Models with Occasionally Binding Constraints

Applied researchers interested in estimating key parameters of DSGE models face an array of choices regarding numerical solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We document how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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