Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models

DOI10.3982/QE331zbMATH Open1396.91407OpenAlexW1541427789MaRDI QIDQ4586243FDOQ4586243

Authors: Isaiah Andrews, Anna Mikusheva 

Publication date: 12 September 2018

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

Full work available at URL: https://doi.org/10.3982/qe331

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zbMATH Keywords

maximum likelihoodscore testweak identification\(C(\alpha)\) test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalizations of martingales (60G48) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

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Cited In (14)

• Locally robust inference for non-Gaussian SVAR models
• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
• Impulse response matching estimators for DSGE models
• Maximum likelihood estimation of finite mixture model for economic data
• Projection-based inference with particle swarm optimization
• DSGE pileups
• Inference in dynamic stochastic general equilibrium models with possible weak identification
• Generic results for establishing the asymptotic size of confidence sets and tests
• Robust inference in nonlinear models with mixed identification strength
• Maximum likelihood estimation of the revenue function system with output-specific technical efficiency
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Dynamic identification of dynamic stochastic general equilibrium models
• Title not available (Why is that?)
• Locally robust inference for non-Gaussian linear simultaneous equations models

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