Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models
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DOI: 10.1016/j.jeconom.2020.04.029
Abstract: Abstract This paper considers the problem of hypothesis testing in linear Gaussian state space models. We consider two hypotheses of interest: a simple null and a hypothesis of explicit parameter restrictions. We derive the asymptotic… read more here.
Keywords: state; state space; likelihood ratio; testing linear ... See more keywords