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Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles

โœ Scribed by Francisco Ruge-Murcia


Book ID
113700515
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
468 KB
Volume
36
Category
Article
ISSN
0165-1889

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In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood function simulated through procedures based on a recursive algorithm formulated by the Geweke-Hajivassiliou-Keane simulator