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Nonlinear dynamic stochastic general equilibrium models in Stata

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  • David Schenck

    (StataCorp)

Abstract

Dynamic stochastic general equilibrium (DSGE) models are used in macroeconomics for policy analysis and forecasting. A DSGE model consists of a system of equations—usually a nonlinear system of equations—that is derived from economic theory. I will show you how to easily solve, estimate, and analyze nonlinear DSGEs. We will explore how to obtain policy matrices, transition matrices, and impulse–response functions for nonlinear models.

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  • David Schenck, 2020. "Nonlinear dynamic stochastic general equilibrium models in Stata," 2020 Stata Conference 25, Stata Users Group.
    • Handle: RePEc:boc:scon20:25
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    File URL: http://fmwww.bc.edu/repec/scon2020/us20_Schenck.pdf
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