Asking code for Cho and Moreno (2006)

[BinhPham]

Dear Tom,

Could I have a suggestion to replicate Cho and Moreno (2006): A Small-Sample Study of the New-Keynesian Macro Model.

In the paper, the authors used FIML to estimate structural parameters as they have three linearized equations (1) - (3) in the paper. I am wondering what they really did!!? Is it a normal VAR system? Could you post an example?

Thanks a lot,

[TomDoan]

I'm not sure I would describe that as "FIML" which is usually associated with simultaneous equations. You would use a combination of DSGE and DLM to estimate that. DLM does a DSGE inside a START option, as shown in the CAGAN.RPF example.