Discussion paper

DP13245 A composite likelihood approach for dynamic structural models

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.

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Citation

Canova, F and C Matthes (eds) (2018), “DP13245 A composite likelihood approach for dynamic structural models”, CEPR Press Discussion Paper No. 13245. https://cepr.org/publications/dp13245