Evaluating the sample likelihood of linearized DSGE models without the use of the Kalman filter
This paper derives a method for constructing the likelihood function of a general class of linearized dynamic general equilibrium models that does not require the application of the Kalman filter. The method easily handles models in which variables are observed with error.
Year of publication: |
2010
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Authors: | Schmitt-Grohé, Stephanie ; Uribe, Martín |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 109.2010, 3, p. 142-143
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Publisher: |
Elsevier |
Subject: | DSGE models Likelihood function |
Saved in:
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