The Econometrics of DSGE Models

58 Pages Posted: 19 Feb 2009

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 19, 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.

Keywords: DSGE Models, Likelihood Estimation, Bayesian Methods

JEL Classification: C11, C13, E30

Suggested Citation

Fernández-Villaverde, Jesús, The Econometrics of DSGE Models (January 19, 2009). PIER Working Paper No. 09-008. Available at SSRN: https://ssrn.com/abstract=1341235 or http://dx.doi.org/10.2139/ssrn.1341235

Jesús Fernández-Villaverde (Contact Author)

University of Pennsylvania - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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