Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and inference in a multidimensional dynamic stochastic general equilibrium model. We show that two forms of the classical score (Lagrange multiplier) test for a simple hypothesis concern...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
John Wiley & Sons
2016
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| Online Access: | http://hdl.handle.net/1721.1/104014 https://orcid.org/0000-0002-0724-5428 |