Solution and Estimation Methods for DSGE Models

Fernández-Villaverde, J., Rubio-Ramírez, J.F. and F. Schorfheide

Chapter Chapter 9 in Handbook of Macroeconomics, 2016, vol. 2, pp 527-724 from Elsevier

Abstract: This chapter provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

Keywords: Approximation error analysis; Bayesian inference; DSGE model; Frequentist inference; GMM estimation; Impulse response function matching; Likelihood-based inference; Metropolis-Hastings algorithm; Minimum distance estimation; Particle filter; Perturbation methods; Projection methods; Sequential Monte Carlo.; C11; C13; C32; C52; C61; C63; E32; E52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (139)

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Related works:
Working Paper: Solution and Estimation Methods for DSGE Models (2016)
Working Paper: Solution and Estimation Methods for DSGE Models (2015)
Working Paper: Solution and Estimation Methods for DSGE Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:macchp:v2-527

DOI: 10.1016/bs.hesmac.2016.03.006

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