Likelihood evaluation of models with occasionally binding constraints
The paper by our colleague Pablo Cuba Borda on “Likelihood evaluation of models with occasionally binding constraints”, co-authored with Luca Guerrieri, Matteo Iacoviello and Molin Zhong, documents how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.
Paper summary
Applied researchers interested in estimating key parameters of DSGE models face an array of choices regarding numerical solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We document how solution approximation errors and likelihood misspecification, related to the treatment of measurement errors, can interact and compound each other.
A working paper version of the paper is avaliable here: http://www.pcubaborda.net/documents/cuba-borda-guerrieri.pdf. The published version is accesible here (gated): https://doi.org/10.1002/jae.2729
BibTeX
@article{doi:10.1002/jae.2729,
author = {Cuba-Borda, Pablo and Guerrieri, Luca and Iacoviello, Matteo and Zhong, Molin},
title = {Likelihood evaluation of models with occasionally binding constraints},
journal = {Journal of Applied Econometrics},
volume = {0},
number = {ja},
pages = {},
doi = {10.1002/jae.2729},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2729},
}