Estimating DSGE Models: Recent Advances and Future Challenges

Jesus Fernandez-Villaverde and Pablo A. Guerrón-Quintana ()
Additional contact information
Pablo A. Guerrón-Quintana: Department of Economics, Boston College, Chestnut Hill, Massachusetts 02467, USA

Annual Review of Economics, 2021, vol. 13, issue 1, 229-252

Abstract: We review the current state of the estimation of dynamic stochastic general equilibrium (DSGE) models. After introducing a general framework for dealing with DSGE models, the state-space representation, we discuss how to evaluate moments or the likelihood function implied by such a structure. We discuss, in varying degrees of detail, recent advances in the field, such as the tempered particle filter, approximated Bayesian computation, Hamiltonian Monte Carlo, variational inference, and machine learning. These methods show much promise but have not been fully explored by the DSGE community yet. We conclude by outlining three future challenges for this line of research.

Keywords: DSGE models; estimation; Bayesian methods (search for similar items in EconPapers)
JEL-codes: C11 C13 E30 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1146/annurev-economics-081020-044812
Full text downloads are only available to subscribers. Visit the abstract page for more information.

Related works:
Working Paper: Estimating DSGE Models: Recent Advances and Future Challenges (2020)
Working Paper: Estimating DSGE Models: Recent Advances and Future Challenges (2020)
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:anr:reveco:v:13:y:2021:p:229-252

Ordering information: This journal article can be ordered from
http://www.annualreviews.org/action/ecommerce

DOI: 10.1146/annurev-economics-081020-044812

Access Statistics for this article

More articles in Annual Review of Economics from Annual Reviews Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA.
Bibliographic data for series maintained by http://www.annualreviews.org ().