On the Estimation of Dynamic Stochastic General Equilibrium Models: An Empirical Likelihood Approach [chapter]

Sara Riscado
2012 Advances in Econometrics  
In this paper we approach the estimation of dynamic stochastic general equilibrium models through a moments-based estimator, the empirical likelihood. We attempt to show that this inference process can be a valid alternative to maximum likelihood, which has been the main choice of the related literature to estimate these economies. The empirical likelihood estimator is characterized by a very simple setup and only requires knowledge about the moments of the data generating process of the model.
more » ... In this context, we exploit the fact that these economies can be formulated as a set of moment conditions to infer on their parameters through this technique. Our analysis will focus mainly on the theorectical aspects of the process. For illustrational purposes, we consider the standard real business cycle model with a constant risk averse utility function and indivisible labour, driven by a normal technology shock.
doi:10.1108/s0731-9053(2012)0000028012 fatcat:2eeb47ifvbf3hjv625hibemwyu