Working Paper

A Composite Likelihood Approach for Dynamic Structural Models

Abstract: We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology has the potential to resolve well-known problems. In each case we consider, we provide an example to illustrate how the approach works and its properties in practice.

Keywords: dynamic structural models; composite likelihood; identification; singularity; large scale models; panel data;

JEL Classification: C10; E27; E32;

Bibliographic Information

Provider: Federal Reserve Bank of Richmond

Part of Series: Working Paper

Publication Date: 2018-07-23

Number: 18-12

Pages: 39 pages