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Estimation and evaluation of DSGE models: progress and challenges

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  • Frank Schorfheide

Abstract

Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 11-7.

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Date of creation: 2011
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Handle: RePEc:fip:fedpwp:11-7

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Keywords: Econometric models ; Stochastic analysis;

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  1. Guerron-Quintana, Pablo A. & Inoue, Atsushi & Kilian, Lutz, 2009. "Frequentist Inference in Weakly Identified DSGE Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7447, C.E.P.R. Discussion Papers.
  2. José-Víctor Ríos-Rull & Frank Schorfheide & Cristina Fuentes-Albero & Raul Santaeulalia-Llopis & Maxym Kryshko, 2009. "Methods versus substance: measuring the effects of technology shocks on hours," Staff Report, Federal Reserve Bank of Minneapolis 433, Federal Reserve Bank of Minneapolis.
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Cited by:
  1. Schmidt, Sebastian & Wieland, Volker, 2013. "The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation," Handbook of Computable General Equilibrium Modeling, Elsevier, Elsevier.
  2. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
  3. repec:wyi:journl:002201 is not listed on IDEAS
  4. Zheng, Tingguo & Guo, Huiming, 2013. "Estimating a small open economy DSGE model with indeterminacy: Evidence from China," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 642-652.
  5. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2014-615, Australian National University, College of Business and Economics, School of Economics.
  6. Frank Schorfheide, 2012. "EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 13(2), April.
  7. Stelios Bekiros & Alessia Paccagnini, 2013. "On the predictability of time-varying VAR and DSGE models," Empirical Economics, Springer, Springer, vol. 45(1), pages 635-664, August.
  8. Luca Barone, 2013. "An ABM for Economics: Micro Explains Macro," Working papers, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino 016, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  9. Gunnar Bårdsen & Luca Fanelli, 2013. "Frequentist evaluation of small DSGE models," Working Paper Series, Department of Economics, Norwegian University of Science and Technology 14113, Department of Economics, Norwegian University of Science and Technology.
  10. Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith, 2013. "How Optimal is US Monetary Policy?," Working Papers, Business School - Economics, University of Glasgow 2013_08, Business School - Economics, University of Glasgow.
  11. Zhongjun Qu & Denis Tkachenko, 2011. "Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2011-060, Boston University - Department of Economics.
  12. Hashem M. Pesaran & Ron P. Smith, 2011. "Beyond the DSGE Straitjacket," CESifo Working Paper Series, CESifo Group Munich 3447, CESifo Group Munich.

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