The Econometrics of DSGE Models

58 Pages Posted: 25 Jan 2009 Last revised: 3 Nov 2010

See all articles by Jesús Fernández-Villaverde

Jesús Fernández-Villaverde

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

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Date Written: January 2009

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.

Suggested Citation

Fernández-Villaverde, Jesús, The Econometrics of DSGE Models (January 2009). NBER Working Paper No. w14677. Available at SSRN: https://ssrn.com/abstract=1332616

Jesús Fernández-Villaverde (Contact Author)

University of Pennsylvania - Department of Economics ( email )

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