Data cloning: maximum likelihood estimation of DSGE models
DOI10.1016/J.RINAM.2020.100121zbMATH Open1466.62456OpenAlexW2184016365MaRDI QIDQ831399FDOQ831399
Authors: Luiz Gustavo C. Furlani, Marcelo S. Portugal, Márcio Poletti Laurini 
Publication date: 11 May 2021
Published in: Results in Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.rinam.2020.100121
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Asymptotic properties of parametric estimators (62F12) Statistical aspects of big data and data science (62R07) Monte Carlo methods (65C05) Stochastic approximation (62L20) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
- Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
- Methods to estimate dynamic stochastic general equilibrium models
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- Structural macroeconomics
- Hidden Dangers of Specifying Noninformative Priors
Cited In (6)
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Tractable likelihood-based estimation of nonlinear DSGE models
- Approximate maximum likelihood estimation using data-cloning ABC
- On a hybrid data cloning method and its application in generalized linear mixed models
- Data cloning estimation for asymmetric stochastic volatility models
- An ANOVA test for parameter estimability using data cloning with application to statistical inference for dynamic systems
Uses Software
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