Companion Web Page for

" Convergence Properties of the Likelihood of Computed Dynamic Models"

by

J. Fernandez-Villaverde (University of Pennsylvania)

Juan F. Rubio-Ramirez (Federal Reserve Bank of Atlanta)

Manuel Santos (Arizona State University)

Download the PDF file of the paper

Download the PDF file of the longer working paper version

Download the PDF file of the technical appendix

This webpage includes the codes used in the paper. The programming languages to run the codes are in parantheses. Files are combined in a zip file for each method. Please note the copyright notice at the bottom of the page and use the codes at your own risk!

If you have any trouble accesing or executing the codes, contact the corresponding author.

• Code to calculate the MLE of a VAR(1) (MATLAB)

• Code to calculate the Likelihood function of the exact log-linear RBC using the Kalman Filter (MATLAB)

• Code to calculate the MLE of a RBC solved using value function iteration when the likelihood function is calculated using a Particle Filter (This code introduces a value function iteration and a particle filter into a metropolis hastings maximitation algorithm) (FORTRAN 90)

• Code to implement the Voung(1989)'s test (MATLAB)

Copyright © 2005 Jesus Fernandez-Villaverde, Juan F. Rubio-Ramirez, and Manuel Santos.

These codes may be freely reproduced for educational and research purposes, so long as they are not altered, this copyright notice is reproduced with them, and they are not sold for profit.
Consent of the corresponding author must be obtained before using all or any part of these codes in a publication.

This page was last updated on May 30, 2005