Estimation

DSGE-VAR Questions related to the estimation of DSGE_VARs SMM/GMM/IRF-Matching Questions related to the simulation method of moments (SMM) or the generalized method of moments (GMM) ML/Bayesian estimation Questions related to frequentist full information estimation (maximum likelihood (ML)) and Bayesian estimation. Questions related to Kalman and particle filters for constructing the likelihood also belong here.

Topic	Replies	Views	Activity
About the Estimation category Estimation	0	1068	24 July 2017
The model with state dependent conditional heteroskedasticity Estimation	4	73	8 December 2025
Random starting points for mode-finding ML/Bayesian estimation	94	756	8 December 2025
Bayesian IRF Matching ML/Bayesian estimation	9	417	5 December 2025
complex non-linear DSGE model and steady state ML/Bayesian estimation	3	64	24 November 2025
SMM estimates Sensitive to Moment Ordering SMM/GMM/IRF-Matching	3	51	20 November 2025
Generating Fan Charts for Perfect Foresight Simulations with expectation errors ML/Bayesian estimation	1	23	19 November 2025
Understanding the role of initial values in shock decomposition Estimation	4	92	17 November 2025
Estimation error: in computing likelihood for initial parameter ML/Bayesian estimation	6	719	17 November 2025
Error in computing likelihood for initial parameter values... Help me plz! ML/Bayesian estimation	1	20	16 November 2025
Red dots in the estimation of basic NKSOE model Estimation	4	36	11 November 2025
Smoothed Variables , SMC estimation ML/Bayesian estimation	5	100	11 November 2025
Testing observables using DSGE model ML/Bayesian estimation	3	72	3 November 2025
GMM/SMM Estimation of Models with Explicitly Specified Trend SMM/GMM/IRF-Matching	1	67	21 October 2025
Gap-Trend model ML/Bayesian estimation	23	179	20 October 2025
GMM Estimation with NKM SMM/GMM/IRF-Matching	1	73	20 October 2025
Estimating (Detrended) Non-stationary model with SMM/GMM SMM/GMM/IRF-Matching	0	66	16 October 2025
Mixed-frequency data identification ML/Bayesian estimation	5	68	15 October 2025
Constrained vs. unconstrained parameterization in Dynare’s MCMC ML/Bayesian estimation	3	46	12 October 2025
How to Evaluate DSGE Model Results? Estimation	1	54	7 October 2025
Mode vs mean of Bayes. Stderr ML/Bayesian estimation	2	46	23 September 2025
HP Filter with Stationary Models SMM/GMM/IRF-Matching	4	68	23 September 2025
Third-order filter: Caught Kord exception: The model is not Blanchard-Kahn stable Estimation	1	20	19 September 2025
Contents of oo_.posterior_mode after MCMC ML/Bayesian estimation	1	24	10 September 2025
Third-order smoother and estimation Estimation	2	43	8 September 2025
Using priors for shock standard deviations from other papers ML/Bayesian estimation	2	36	3 September 2025
Forecasting Problem: identical point and mean forecasts ML/Bayesian estimation	2	38	2 September 2025
Large Initial Values in Historical Decomposition Due to High Persistence ML/Bayesian estimation	6	62	26 August 2025
Non-linear NK model — high negative initial log posterior despite measurement equations ML/Bayesian estimation	2	46	24 August 2025
Question on lik_init = 2 ML/Bayesian estimation	27	832	22 August 2025