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The econometrics of DSGE models

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.

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Acknowledgments

Much of the research reviewed in this paper was undertaken jointly with Juan Rubio-Ramírez, the best coauthor I could have hoped for. I thank Antonio Cabrales and Pedro Mira for the invitation to deliver the lecture that led to this paper, Wen Yao for research assistance, and the NSF for financial support.

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Correspondence to Jesús Fernández-Villaverde.

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Fernández-Villaverde, J. The econometrics of DSGE models. SERIEs 1, 3–49 (2010). https://doi.org/10.1007/s13209-009-0014-7

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Keywords

  • DSGE models
  • Likelihood estimation
  • Bayesian methods

JEL Classification

  • C11
  • C13
  • E30