Bayesian analysis of DSGE models

Sungbae An and Frank Schorfheide ()
Additional contact information
Frank Schorfheide: https://economics.sas.upenn.edu/people/frank-schorfheide

No 06-5, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the nonlinear estimation based on a second-order accurate model solution. These methods are applied to data generated from correctly specified and misspecified linearized DSGE models, and a DSGE model that was solved with a second-order perturbation method.

Keywords: Macroeconomics; Vector autoregression (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (63)

Downloads: (external link)
https://www.philadelphiafed.org/-/media/frbp/asset ... pers/2006/wp06-5.pdf (application/pdf)

Related works:
Journal Article: Bayesian Analysis of DSGE Models (2007)
Working Paper: Bayesian Analysis of DSGE Models (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedpwp:06-5

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by Beth Paul ().