The Econometrics of DSGE Models
58 Pages Posted: 19 Feb 2009
Date Written: January 19, 2009
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: Suggested Citation