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Data cloning: Maximum likelihood estimation of DSGE models

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Autor(es):
Furlani, Luiz Gustavo C. ; Laurini, Marcio P. ; Portugal, Marcelo S.
Número total de Autores: 3
Tipo de documento: Artigo Científico
Fonte: RESULTS IN APPLIED MATHEMATICS; v. 7, p. 5-pg., 2020-08-01.
Resumo

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)

Processo FAPESP: 18/04654-9 - Séries temporais, ondaletas e dados de alta dimensão
Beneficiário:Pedro Alberto Morettin
Modalidade de apoio: Auxílio à Pesquisa - Temático