DP13245 A composite likelihood approach for dynamic structural models
Author(s): | Fabio Canova, Christian Matthes |
Publication Date: | October 2018 |
Date Revised: | October 2018 |
Keyword(s): | composite likelihood, dynamic structural models, identification, large scale models, panel data, singularity |
JEL(s): | C10, E27, E32 |
Programme Areas: | International Macroeconomics and Finance, Monetary Economics and Fluctuations |
Link to this Page: | cepr.org/active/publications/discussion_papers/dp.php?dpno=13245 |
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.