Maximum Likelihood Inference in Weakly Identified DSGE Models

Maximum Likelihood Inference in Weakly Identified DSGE Models

This paper examines the problem of weak identification in maximum likelihood, motivated by problems with estimation and inference a multi-dimensional, non-linear DSGE model. We suggest a test for a simple hypothesis concerning the full parameter vector which is robust to weak identification. We also...

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Bibliographic Details
Main Authors: Andrews, Isaiah, Mikusheva, Anna
Format: Working Paper
Published: Cambridge, MA: Department of Economics, Massachusetts Institute of Technology 2012
Subjects:
weak identification
maximum likelihood
score test
$C(\alpha)-$ test
Online Access:http://hdl.handle.net/1721.1/71553

Internet

http://hdl.handle.net/1721.1/71553

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