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Mr. Maxym Kryshko

a data-rich framework is that the panel dimension of data set J is much higher than the number of DSGE model states N . For convenience, collect state-space matrices from the measurement equation into Г = { Λ(θ) , Ψ , R } and DSGE states-factors into S T ={ S 1 , S 2 ,… S T }. Because f the normality of structural shocks ε t and measurement error innovations v t , system (40) - (42) is a linear Gaussian state-space model and the likelihood function of data p ( X T | θ , Г) can be evaluated using a Kalman filter. Following Boivin and Giannoni