Data cloning: Maximum likelihood estimation of DSGE models
We present evidence supporting the use of the data cloning method for maximum likelihood estimation of Dynamic Stochastic General Equilibrium models. In the data cloning method, maximum likelihood estimators are obtained as the limit of Bayesian estimators, enjoying the computational advantages of M...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2020-08-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037420300315 |
| _version_ | 1819225786289225728 |
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| author | Luiz Gustavo C. Furlani Márcio P. Laurini Marcelo S. Portugal |
| author_facet | Luiz Gustavo C. Furlani Márcio P. Laurini Marcelo S. Portugal |
| author_sort | Luiz Gustavo C. Furlani |
| collection | DOAJ |
| description | We present evidence supporting the use of the data cloning method for maximum likelihood estimation of Dynamic Stochastic General Equilibrium models. In the data cloning method, maximum likelihood estimators are obtained as the limit of Bayesian estimators, enjoying the computational advantages of MCMC methods. We present evidences that this method is more robust to initial values than the traditional likelihood estimators in this problem. |
| first_indexed | 2024-12-23T10:15:08Z |
| format | Article |
| id | doaj.art-a9a2c8c749374de1964a5be6026f4821 |
| institution | Directory Open Access Journal |
| issn | 2590-0374 |
| language | English |
| last_indexed | 2024-12-23T10:15:08Z |
| publishDate | 2020-08-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Results in Applied Mathematics |
| spelling | doaj.art-a9a2c8c749374de1964a5be6026f48212022-12-21T17:50:51ZengElsevierResults in Applied Mathematics2590-03742020-08-017100121Data cloning: Maximum likelihood estimation of DSGE modelsLuiz Gustavo C. Furlani0Márcio P. Laurini1Marcelo S. Portugal2UFRGS, BrazilFEARP-USP, Brazil; CNPq, Brazil; Correspondence to: Av. dos Bandeirantes 3900, 14040-905, Ribeirão Preto, SP, Brazil.UFRGS, Brazil; CNPq, BrazilWe present evidence supporting the use of the data cloning method for maximum likelihood estimation of Dynamic Stochastic General Equilibrium models. In the data cloning method, maximum likelihood estimators are obtained as the limit of Bayesian estimators, enjoying the computational advantages of MCMC methods. We present evidences that this method is more robust to initial values than the traditional likelihood estimators in this problem.http://www.sciencedirect.com/science/article/pii/S2590037420300315Likelihood estimationDynamic Stochastic General EquilibriumBayesian asymptotics |
| spellingShingle | Luiz Gustavo C. Furlani Márcio P. Laurini Marcelo S. Portugal Data cloning: Maximum likelihood estimation of DSGE models Results in Applied Mathematics Likelihood estimation Dynamic Stochastic General Equilibrium Bayesian asymptotics |
| title | Data cloning: Maximum likelihood estimation of DSGE models |
| title_full | Data cloning: Maximum likelihood estimation of DSGE models |
| title_fullStr | Data cloning: Maximum likelihood estimation of DSGE models |
| title_full_unstemmed | Data cloning: Maximum likelihood estimation of DSGE models |
| title_short | Data cloning: Maximum likelihood estimation of DSGE models |
| title_sort | data cloning maximum likelihood estimation of dsge models |
| topic | Likelihood estimation Dynamic Stochastic General Equilibrium Bayesian asymptotics |
| url | http://www.sciencedirect.com/science/article/pii/S2590037420300315 |
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