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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 National Bureau of Economic Research, Inc in its series NBER Working Papers with number 16781.

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Date of creation: Feb 2011
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Publication status: published as “Estimation and Evaluation of DSGE Models: Progress and Challenges.” Forthcoming in: D. Acemoglu, M. Arellano, and E. Deckel (eds .): “Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress,” Vol 3 , 2 013, Cambridge University Press , 184 - 230.
Handle: RePEc:nbr:nberwo:16781

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  1. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
  2. Fuentes-Albero, Cristina & Kryshko, Maxym & Ríos-Rull, José-Víctor & Santaeulàlia-Llopis, Raül & Schorfheide, Frank, 2009. "Methods versus Substance: Measuring the Effects of Technology Shocks on Hours," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7474, C.E.P.R. Discussion Papers.
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Cited by:
  1. 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.
  2. 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.
  3. Chen, Xiaoshan & Kirsanova, Tatiana & Leith, Campbell, 2013. "How Optimal is US Monetary Policy?," Stirling Economics Discussion Papers, University of Stirling, Division of Economics 2013-05, University of Stirling, Division of Economics.
  4. 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.
  5. Gunnar BÃ¥rdsen & 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.
  6. Pesaran, M. H. & Smith, R. P., 2011. "Beyond the DSGE straightjacket," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 1138, Faculty of Economics, University of Cambridge.
  7. 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.
  8. 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.
  9. Schmidt, Sebastian & Wieland, Volker, 2012. "The new keynesian approach to dynamic general equilibrium modeling: Models, methods, and macroeconomic policy evaluation," IMFS Working Paper Series 52, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  10. repec:wyi:journl:002201 is not listed on IDEAS
  11. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
  12. 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.

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