SERIEs

, Volume 1, Issue 1–2, pp 3–49 | Cite as

The econometrics of DSGE models

Open Access
Original Article

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 

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Authors and Affiliations

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

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