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Two Essays on Maximum Likelihood Estimation. Edition No. 1
VDM Publishing House, May 2009, Pages: 156
In recent years, a vast macroeconomic and finance
literature has been devoted to building DSGE models
to explain the impact of various macroeconomic
shocks on output, inflation and interest rates. The
DSGE models that have numerous frictions and
different types of shocks are the standard tool in
macroeconomic analysis, and they appear to reproduce
the data in many important dimensions. This work
consists of two essays on maximum likelihood
estimation of DSGE models. The first essay focuses
on a monetary DSGE model of term structure, and the
estimation of its structural parameters, while the
second essay explores and compares three different
versions of New Keynesian DSGE models. A general
background is provided for the models, and their
estimation techniques along with a review of the
term structure models and New Keynesian models.
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