• A composite likelihood approach for dynamic structural models 

      Canova, Fabio; Matthes, Christian (CAMP Working Paper Series Paper No. 10/2018;, Working paper, 2018-10-08)
      We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology ...
    • Approximating time varying structural models with time invariant structures 

      Canova, Fabio; Ferroni, Filippo; Matthes, Christian (CAMP Working Paper Series;1/2016, Working paper, 2016)
      The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. ...
    • A Composite Likelihood Approach for Dynamic Structural Models 

      Canova, Fabio; Matthes, Christian (Peer reviewed; Journal article, 2021)
      We explain how to use the composite likelihood function to ameliorate estimation, computational and inferential problems in dynamic stochastic general equilibrium models. We combine the information present in different ...
    • Dealing with misspecification in structural macroeconometric models 

      Canova, Fabio; Matthes, Christian (Journal article; Peer reviewed, 2021)
      We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate ...
    • DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS 

      Canova, Fabio; Ferroni, Filippo; Matthes, Christian (Journal article; Peer reviewed, 2020)
      We study how structural parameter variations affect the decision rules and economic inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. A constant ...
    • The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve 

      Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian (CAMP Working Paper Series;02/2024, Working paper, 2024-01-23)
      We investigate the influence of the U.S. government’s spending and taxation decisions, along with the monetary policy choices made by the Federal Reserve, on the dynamics of the nominal yield curve. Aggregate government ...