An Estimated Dynamic Stochastic General Equilibrium Model

Jason Allen

Journal of Economics and Econometrics, 2015, vol. 58, issue 2, 1-26

Abstract: We develop and estimate a dynamic stochastic general equilibrium (DSGE) model with nominal rigidities. The sticky prices and wages are formulated both as time-dependent and state-dependent processes. The DSGE model is estimated using four alternative techniques: Maximum Likelihood with and without measurement errors and incorporating Bayesian priors; Generalised Method of Moments; Simulated Method of Moments; and Indirect Inference. The results of Monte Carlo analysis suggest that all four estimation techniques deliver reasonably good estimates. We apply the estimated DSGE model to assess the impact of structural reforms in the EU as suggested under the Country-Specific Recommendations.

Keywords: DSGE; Bayesian; Maximum Likelihood; Generalised Method of Moments; structural reforms; Country-Specific Recommendations. (search for similar items in EconPapers)
JEL-codes: E4 E5 (search for similar items in EconPapers)
Date: 2015
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