Home About Latest Browse RSS Advanced Search

Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Likelihood Evaluation of Models with Occasionally Binding Constraints
Pablo Cuba-Borda
Luca Guerrieri
Matteo Iacoviello
Molin Zhong
Abstract

Applied researchers interested in estimating key parameters of DSGE models face an array of choices regarding numerical solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We document how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.


Download Full text
Cite this item
Pablo Cuba-Borda & Luca Guerrieri & Matteo Iacoviello & Molin Zhong, Likelihood Evaluation of Models with Occasionally Binding Constraints, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2019-028, 19 Apr 2019.
More from this series
JEL Classification:
Subject headings:
Keywords: Measurement error ; Solution error ; Occasionally binding constraints ; Particle filter
DOI: 10.17016/FEDS.2019.028
For corrections, contact Ryan Wolfslayer ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal