| Full text | |
| Author(s): |
Furlani, Luiz Gustavo C.
;
Laurini, Marcio P.
;
Portugal, Marcelo S.
Total Authors: 3
|
| Document type: | Journal article |
| Source: | RESULTS IN APPLIED MATHEMATICS; v. 7, p. 5-pg., 2020-08-01. |
| Abstract | |
We present evidence supporting the use of the data cloning method for maximum likelihood estimation of Dynamic Stochastic General Equilibrium models. In the data cloning method, maximum likelihood estimators are obtained as the limit of Bayesian estimators, enjoying the computational advantages of MCMC methods. We present evidences that this method is more robust to initial values than the traditional likelihood estimators in this problem. (C) 2020 The Author(s). Published by Elsevier B.V. (AU) | |
| FAPESP's process: | 18/04654-9 - Time series, wavelets and high dimensional data |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |