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The Econometrics of DSGE Models

  • Jesús Fernández-Villaverde

    ()

    (Department of Economics, University of Pennsylvania)

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 Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 09-008.

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Length: 58 pages
Date of creation: 19 Jan 2009
Date of revision:
Handle: RePEc:pen:papers:09-008
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