The Econometrics of DSGE Models

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)
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mac
Date: 2009-02
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Related works:
Working Paper: The Econometrics of DSGE Models (2009)
Working Paper: The Econometrics of DSGE Models (2009)
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