The Econometrics of DSGE Models

Jesus Fernandez-Villaverde

No 14677, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has decided to estimate these models using Bayesian methods. Third, I briefly introduce some of the techniques required to compute and estimate these models. Fourth, I illustrate the techniques under consideration by estimating a benchmark DSGE model with real and nominal rigidities. I conclude by offering some pointers for future research.

JEL-codes: C11 C13 E10 (search for similar items in EconPapers)
Date: 2009-01
New Economics Papers: this item is included in nep-cba, nep-dge, nep-ecm and nep-mac
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Published as Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," International Review of Economics, Springer, vol. 1(1), pages 3-49, March.
Published as Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs, Spanish Economic Association, vol. 1(1), pages 3-49, March.
Published as Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.

Downloads: (external link)
http://www.nber.org/papers/w14677.pdf (application/pdf)

Related works:
Journal Article: The econometrics of DSGE models (2010)
Working Paper: The Econometrics of DSGE Models (2009)
Working Paper: The Econometrics of DSGE Models (2009)
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:nbr:nberwo:14677

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w14677

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().