Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
نویسندگان
چکیده
منابع مشابه
Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models
This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second order properties of the process. The condition allows for arbitrary relations between the number of obs...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2012
ISSN: 1759-7323
DOI: 10.3982/qe126