Estimating Dynamic Equilibrium Economies : Linear versus Nonlinear Likelihood

@inproceedings{FERNNDEZVILLAVERDEa2004EstimatingDE,
  title={Estimating Dynamic Equilibrium Economies : Linear versus Nonlinear Likelihood},
  author={JES{\'U}S FERN{\'A}NDEZ-VILLAVERDEa and JUAN F. RUBIO-RAM{\'I}REZb},
  year={2004}
}
  • JESÚS FERNÁNDEZ-VILLAVERDEa, JUAN F. RUBIO-RAMÍREZb
  • Published 2004
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The sequential Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by simulation methods. The Kalman filter estimates a linearization of the economy around the steady state. We report two main results. First, both for simulated and for real data, the sequential Monte… CONTINUE READING
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