Discussion Paper Details

Please find the details for DP13245 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: A composite likelihood approach for dynamic structural models

Author(s): Fabio Canova and Christian Matthes

Publication Date: October 2018

Keyword(s): composite likelihood, dynamic structural models, identification, large scale models, panel data and singularity

Programme Area(s): International Macroeconomics and Finance and Monetary Economics and Fluctuations

Abstract: We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems and formally justifies existing practices. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.

For full details and related downloads, please visit:

Bibliographic Reference

Canova, F and Matthes, C. 2018. 'A composite likelihood approach for dynamic structural models'. London, Centre for Economic Policy Research.