Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Mar, 2015, Volume 6, Issue 1
Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
Isaiah Andrews, Anna Mikusheva
This paper examines the issue of weak identification in maximum likelihood, motivated by problems with estimation and inference in a multidimensional dynamic stochastic general equilibrium model.We show that two forms of the classical score (Lagrange multiplier) test for a simple hypothesis concerning the full parameter vector are robust to weak identification. We also suggest a test for a composite hypothesis regarding a subvector of parameters. The suggested subset test is shown to be asymptotically exact when the nuisance parameter is strongly identified. We pay particular attention to the question of how to estimate Fisher information and we make extensive use of martingale theory.
Supplemental Material
Supplement to "Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models"
Supplement to "Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models"
Supplement to "Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models"
Journal News
March 5, 2024
Announcing the New Journal Editors
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
