Solution and Estimation Methods for DSGE Models

Jesus Fernandez-Villaverde, Juan Rubio-Ramírez () and Frank Schorfheide
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Juan Rubio-Ramírez: Department of Economics, Emory University
Authors registered in the RePEc Author Service: Juan F Rubio-Ramirez

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This chapter 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)
Pages: 245 pages
Date: 2015-12-09, Revised 2015-12-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://economics.sas.upenn.edu/sites/default/files/filevault/15-042wp.pdf (application/pdf)

Related works:
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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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:15-042

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