Estimating Dynamic Stochastic General Equilibrium models in Stata

David Schenck
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David Schenck: StataCorp

Canadian Stata Users' Group Meetings 2017 from Stata Users Group

Abstract: Dynamic stochastic general equilibrium (DSGE) models are used in macroeconomics for policy analysis and forecasting. A DSGE model consists of a system of equations derived from economic theory. Some of these equations may be forward looking, in that expectations of future values of variables matter for the values of variables today. Expectations are handled in an internally consistent way, known as rational expectation. I describe the new dsge command, which estimates the parameters of linear DSGE models. I outline a typical DSGE model, estimate its parameters, discuss how to interpret dsge output, and describe the command's postestimation features.

Date: 2017-09-20
New Economics Papers: this item is included in nep-cmp and nep-dge
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Persistent link: https://EconPapers.repec.org/RePEc:boc:csug17:05

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