The Econometrics of DSGE Models

Jesús Fernández-Villaverde

NBER Working Paper No. 14677
Issued in January 2009
NBER Program(s):   EFG

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.

(405 K)

Published:

• Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," International Review of Economics, Springer, vol. 1(1), pages 3-49, March. ,
• Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs, Spanish Economic Association, vol. 1(1), pages 3-49, March.

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Acknowledgments

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