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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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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 14677.

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Date of creation: Jan 2009
Publication status: published as Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," International Review of Economics, Springer, vol. 1(1), pages 3-49, March.
Handle: RePEc:nbr:nberwo:14677
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