Browsing BI Research Centre's Series by Author "Matthes, Christian"
Now showing items 1-2 of 2
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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. ...