How to maximize the likelihood function for a DSGE model

DOI10.1007/s10614-009-9182-6zbMath1183.91092MaRDI QIDQ2267811

Martin Møller Andreasen

Publication date: 2 March 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-009-9182-6

zbMATH Keywords

resampling; simulated annealing; CMA-ES optimization routine; multimodel objective function; Nelder-Mead simplex routine; non-convex search space

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

68T05: Learning and adaptive systems in artificial intelligence

90C15: Stochastic programming

91B51: Dynamic stochastic general equilibrium theory

Related Items

DSGE pileups, Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule

Uses Software

• simannf90
• CMA-ES
• fminsearch

Cites Work

• Global optimization of statistical functions with simulated annealing
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
• Learning probability distributions in continuous evolutionary algorithms -- a comparative review
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Facts, Conjectures, and Improvements for Simulated Annealing
• Bayesian Analysis of DSGE Models
• International Equity Flows and Returns: A Quantitative Equilibrium Approach