Scandinavian Working Papers in Economics

Working Paper Series,
Uppsala University, Department of Economics

No 2015:6: Estimation of DSGE models: Maximum Likelihood vs. Bayesian methods

Glenn Mickelsson ()
Additional contact information
Glenn Mickelsson: Department of Economics, Postal: Uppsala University, P.O. Box 513, SE-751 20 Uppsala, Sweden

Abstract: DSGE models are typically estimated using Bayesian methods, but a researcher may want to estimate a DSGE model with full information maximum likelihood (FIML) so as to avoid the use of prior distributions. A very robust algorithm is needed to find the global maximum within the relevant parameter space. I suggest such an algorithm and show that it is possible to estimate the model of Smets and Wouters (2007) using FIML. Inference is carried out using stochastic bootstrapping techniques. Several FIML estimates turn out to be significantly diffrent from the Bayesian estimates and the reasons behind those differences are analyzed.

Keywords: Bayesian methods; Maximum likelihood; Business Cycles; Estimate DSGE models

JEL-codes: C11; E32; E32; E37

51 pages, December 22, 2015

Full text files 

FULLTEXT01.pdf PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to Ulrika Öjdeby ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:uunewp:2015_006This page generated on 2024-09-13 22:17:38.