Data cloning: maximum likelihood estimation of DSGE models

DOI10.1016/J.RINAM.2020.100121MaRDI QIDQ831399zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.rinam.2020.100121

zbMATH Keywords

likelihood estimationBayesian asymptoticsdynamic stochastic general equilibrium (DSGE)

Mathematics Subject Classification ID

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)

Recommendations

• Tractable likelihood-based estimation of nonlinear DSGE models
• Approximate maximum likelihood estimation using data-cloning ABC
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Data cloning estimation for asymmetric stochastic volatility models
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Cites work

• A hybrid data cloning maximum likelihood estimator for stochastic volatility models
• Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
• Hidden Dangers of Specifying Noninformative Priors
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Methods to estimate dynamic stochastic general equilibrium models
• Structural macroeconomics

Cited in

(6)

• Tractable likelihood-based estimation of nonlinear DSGE models
• Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable 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

Describes a project that uses

Uses Software

• Dynare

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