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The econometrics of DSGE models

Listed author(s):
  • Jesús Fernández-Villaverde

    ()

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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Article provided by Springer & Spanish Economic Association in its journal SERIEs.

Volume (Year): 1 (2010)
Issue (Month): 1 (March)
Pages: 3-49

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Handle: RePEc:spr:series:v:1:y:2010:i:1:p:3-49
DOI: 10.1007/s13209-009-0014-7
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