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Estimation of DSGE models: Maximum Likelihood vs. Bayesian methods
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2015 (English)Report (Other academic)
Abstract [en]

DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter space. I suggest such an algorithm and show that it is possible to estimate the model of Smets and Wouters (2007) using FIML. Inference is carried out using stochastic bootstrapping techniques. Several FIML estimates turn out to be significantly different from the Bayesian estimates and the reasons behind those differences are analyzed.

Place, publisher, year, edition, pages
Uppsala: Uppsala University, Department of Economics , 2015. , 51 p.
Series
Working paper / Department of Economics, Uppsala University (Online), ISSN 1653-6975 ; 2015:6
Keyword [en]
Bayesian methods, Maximum likelihood, Business Cycles, Estimate DSGE models
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:uu:diva-270200OAI: oai:DiVA.org:uu-270200DiVA: diva2:887132
Available from: 2015-12-22 Created: 2015-12-22 Last updated: 2015-12-22Bibliographically approved

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Mickelsson, Glenn

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf