文章基本信息

标题：Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
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作者：Gianni Amisano ; Oreste Tristani
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：Phenomena such as the Great Moderation have increased the attention of macro- economists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime shifts. We rst show that, up to a second-order approximation using perturbation methods, regime switching in the variances has an impact only on the intercept coe¢ cients of the decision rules. We then demonstrate how to derive the exact model likelihood for the second-order approximation of the solution when there are as many shocks as observable variables. We illustrate the applicability of the proposed solution and estimation methods in the case of a small DSGE model.
关键词：DSGE models; second-order approximation; regime switching;time-varying volatility.