Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations

Journal of Economic Dynamics and Control

Volumn 35, Issue 12, 2011, Pages 2167-2185

  Amisano, Gianni ^a,b   Tristani, Oreste ^b  

^a EUROPEAN CENTRAL BANK   (Germany)

^b UNIVERSITY OF BRESCIA   (Italy)

Author keywords

DSGE models; Regime switching; Second order approximation; Time varying volatility

Indexed keywords

EID: 82355191714     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2011.08.003     Document Type: Article

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