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Estimating Macroeconomic Models: A Likelihood Approach / Jesus Fernandez-Villaverde, Juan F. Rubio-Ramirez.
- Format:
- Book
- Author/Creator:
- Fernandez-Villaverde, Jesus.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0321.
- NBER technical working paper series no. t0321
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Estimating Macroeconomic Models
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility.
- Notes:
- Print version record
- February 2006.
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