Matlb/Octave code for econometric estimator
Posted: Tue May 28, 2013 1:31 pm
Attached is simple Matlab/Octave code to estimate all parameters of a small DSGE model using the "simulated Bayesian indirect likelihood" estimator discussed in the Dynare working paper “Indirect Likelihood Inference" http://www.dynare.org/wp-repo/dynarewp008.pdf This code estimates a model with 2 shocks, preferences and technology, which is discussed in the revised version of the paper, which will be ready soon. The model is pretty clear from the .mod file. Many thanks to Johannes Pfeifer for help with Matlab compatibility, and also for some performance improving suggestions.