SERIEs

, Volume 1, Issue 1, pp 3–49

The econometrics of DSGE models

Open AccessOriginal Article

DOI: 10.1007/s13209-009-0014-7

Cite this article as:
Fernández-Villaverde, J. SERIEs (2010) 1: 3. doi:10.1007/s13209-009-0014-7

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 modelsLikelihood estimationBayesian methods

JEL Classification

C11C13E30
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Copyright information

© The Author(s) 2010

This article is published under license to BioMed Central Ltd. Open Access This article is distributed under the terms of the Creative Commons Attribution Noncommercial License which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.

Authors and Affiliations

  1. 1.University of PennsylvaniaPhiladelphiaUSA
  2. 2.NBERCambridgeUSA
  3. 3.CEPRLondonUK