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- Title
Efficient Likelihood Evaluation of State-Space Representations.
- Authors
DeJong, David N.; Liesenfeld, Roman; Moura, Guilherme V.; Richard, Jean-François; Dharmarajan, Hariharan
- Abstract
We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of targeted integrands to achieve likelihood approximation. Optimized approximations of targeted integrands are constructed via efficient importance sampling. Resulting likelihood approximations are continuous functions of model parameters, greatly enhancing parameter estimation. We illustrate our procedure in applications to dynamic stochastic general equilibrium models.
- Subjects
STATE-space methods; APPROXIMATION theory; CONTINUOUS functions; ECONOMIC equilibrium; KERNEL functions
- Publication
Review of Economic Studies, 2013, Vol 80, Issue 2, p538
- ISSN
0034-6527
- Publication type
Article
- DOI
10.1093/restud/rds040