The Econometrics of DSGE Models

Fernández-Villaverde, Jesús
Authors registered in the RePEc Author Service: Jesus Fernandez-Villaverde

No 7157, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has decided to estimate these models using Bayesian methods. Third, I briefly introduce some of the techniques required to compute and estimate these models. Fourth, I illustrate the techniques under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some pointers for future research.

Keywords: Bayesian methods; Dsge models; Likelihood estimation (search for similar items in EconPapers)
JEL-codes: C11 C13 E30 (search for similar items in EconPapers)
Date: 2009-02
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

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Related works:
Journal Article: The econometrics of DSGE models (2010)
Working Paper: The Econometrics of DSGE Models (2009)
Working Paper: The Econometrics of DSGE Models (2009)
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