#2006-025B "The Price Puzzle and Indeterminacy in an Estimated DSGE Model"
by Anatoliy Belaygorod, and Michael J. Dueker
April 2006
Revised March 2007

We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). More...