Convergence Properties of the Likelihood of Computed Dynamic Models

By Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez, Manuel S. Santos. 2005

113 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/b96b589523f72201c54637278974657fb049db38

Citations in the corpus

• Estimating Macroeconomic Models: A Likelihood Approach (2007, unknown): “We combine the laws of motion for the volatility (13)-(15) and the policy function of capital (19) to build: St = f (St−1,Wt; γ) where St = (e st, e st−1) and Wt = (εat, ευt, εdt, ηat, ηυt, ηdt).”
• Yield curve in an estimated nonlinear macro model (2011, unknown): “First, Fernàndez-Villaverde et al. (2006), An (2005), and Amisano and Tristani (2007) show that there are noticeable differences in the likelihood and parameter estimates across first-order and second-order solutions.”
• Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2008, unknown): “(measurement equation) y t = G(xt,vt,θ) (19)”