Solution and Estimation Methods for DSGE Models
Jesus Fernandez-Villaverde (),
Juan F Rubio-Ramirez () and
Frank Schorfheide ()
No 11032, CEPR Discussion Papers from C.E.P.R. Discussion Papers
This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) 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 (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 C52 C61 C63 E32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm, nep-ets, nep-mac and nep-ore
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Chapter: Solution and Estimation Methods for DSGE Models (2016)
Working Paper: Solution and Estimation Methods for DSGE Models (2016)
Working Paper: Solution and Estimation Methods for DSGE Models (2015)
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