Artikel
The econometrics of DSGE models
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.
- Language
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Englisch
- Bibliographic citation
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Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 1 ; Year: 2010 ; Issue: 1/2 ; Pages: 3-49 ; Heidelberg: Springer
- Classification
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Wirtschaft
Bayesian Analysis: General
Estimation: General
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
- Subject
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DSGE models
likelihood estimation
Bayesian methods
Neue Makroökonomik offener Volkswirtschaften
Ökonometrie
Dynamisches Gleichgewicht
Bayes-Statistik
- Event
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Geistige Schöpfung
- (who)
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Fernández-Villaverde, Jesús
- Event
-
Veröffentlichung
- (who)
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Springer
- (where)
-
Heidelberg
- (when)
-
2010
- DOI
-
doi:10.1007/s13209-009-0014-7
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Fernández-Villaverde, Jesús
- Springer
Time of origin
- 2010
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Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model
Measuring the Natural Output Level by DSGE Models: An Empirical Investigation for Switzerland
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