The econometrics of DSGE models

【作者(必填)】Jesús Fernández-Villaverde,

【文题(必填) The econometrics of DSGE models

【年份(必填)】2010, International Review of Economics, Springer, vol. 1(1), pages 3-49, March.

【全文链接或数据库名称(选填)】

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.