Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter

DOI10.1016/j.econlet.2010.08.016zbMath1203.91152OpenAlexW2094318480MaRDI QIDQ617551

Martín Uribe, Stephanie Schmitt-Grohé

Publication date: 21 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.08.016

zbMATH Keywords

likelihood functionDSGE models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Dynamic stochastic general equilibrium theory (91B51)

Related Items (6)

Estimating the state vector of linearized DSGE models without the Kalman filter ⋮ Generalized adaptive expectations revisited ⋮ Optimal discretionary monetary policy in a micro-founded model with a zero lower bound on nominal interest rate ⋮ Solving and estimating linearized DSGE models with VARMA shock processes and filtered data ⋮ Linear rational-expectations models with lagged expectations: a synthetic method ⋮ Efficient matrix approach for classical inference in state space models

Cites Work

• Solving dynamic general equilibrium models using a second-order approximation to the policy function

This page was built for publication: Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter