Likelihood Estimation of DSGE Models with Epstein-Zin Preferences

摘要: This paper illustrates how to perform likelihood-based inference in dynamic stochastic general equilibrium (DSGE) models with Epstein-Zin preferences. class of preferences has recently become a popular device account for asset pricing observations and other phenomena that are challenging address within the traditional state-separable utility framework. However, there been little econometric work area, particularly from likelihood perspective, because difficulty computing an solution model deriving function. To fill this gap, we build real business cycle long run growth, solve it perturbation techniques, evaluate its particle filter. We estimate using U.S. macro yield curve data. discuss ability explain cycle, prices, comovements between these two, implications our point estimates welfare cost cycle.