The Econometrics of DSGE Models

Jesus Fernandez-Villaverde ()

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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: DSGE Models; Likelihood Estimation; Bayesian Methods (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, nep-ecm and nep-mac
Date: 2009-01-19
View list of references

Downloads: (external link)
http://economics.sas.upenn.edu/system/files/09-008.pdf (application/pdf)

Related works:
Working Paper: The Econometrics of DSGE Models (2009)
Working Paper: The Econometrics of DSGE Models (2009)
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: http://EconPapers.repec.org/RePEc:pen:papers:09-008

Access Statistics for this paper

More papers in PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Address: 3718 Locust Walk, Philadelphia, PA 19104
Contact information at EDIRC.
Series data maintained by Dolly Guarini ().