TY  - JOUR
AU  - Fernandez-Villaverde,Jesus
AU  - Rubio-Ramirez,Juan F.
TI  - Estimating Macroeconomic Models: A Likelihood Approach
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 321
PY  - 2006
Y2  - February 2006
UR  - http://www.nber.org/papers/t0321
L1  - http://www.nber.org/papers/t0321.pdf
N1  - Author contact info:
Jesus Fernandez-Villaverde
University of Pennsylvania
160 McNeil Building
3718 Locust Walk
Philadelphia, PA 19104
Tel: 267/307-1068
E-Mail: jesusfv@econ.upenn.edu

Juan Rubio-Ramírez
Duke University
P.O. Box 90097
Durham, NC 27708
Tel: 9196601865
E-Mail: juan.rubio-ramirez@duke.edu
AB  - This paper shows how particle filtering allows us to undertake likelihood-based inference in dynamic macroeconomic models. The models can be nonlinear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility.
ER  -