Methods to Estimate Dynamic Stochastic General Equilibrium Models

Francisco Ruge-Murcia

University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego

Abstract: This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1) Maximum Likelihood (with and without measurement errors and incorporating priors), 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) the Extended Method of Simulated Moments proposed by Smith (1993). Monte Carlo analysis shows that although all procedures deliver reasonably good estimates, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. The implications of the singularity of DSGE models for each estimation procedure are fully discussed.

Keywords: DSGE models; estimation methods; Monte Carlo analysis; singularity (search for similar items in EconPapers)
Date: 2002-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.escholarship.org/uc/item/4fc8x822.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Methods to estimate dynamic stochastic general equilibrium models (2007)
Working Paper: Methods to Estimate Dynamic Stochastic General Equilibrium Models (2004)
Working Paper: Methods to Estimate Dynamic Stochastic General Equilibrium Models (2003)
Working Paper: Methods to Estimate Dynamic Stochastic General Equilibrium Models (2003)
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:cdl:ucsdec:qt4fc8x822

Access Statistics for this paper

More papers in University of California at San Diego, Economics Working Paper Series from Department of Economics, UC San Diego Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().