TY  - JOUR
AU  - Fernández-Villaverde,Jesús
TI  - The Econometrics of DSGE Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14677
PY  - 2009
Y2  - January 2009
UR  - http://www.nber.org/papers/w14677
L1  - http://www.nber.org/papers/w14677.pdf
N1  - Author contact info:
Jesus Fernandez-Villaverde
University of Pennsylvania
160 McNeil Building
3718 Locust Walk
Philadelphia, PA 19104
Tel: 267/307-1068
E-Mail: jesusfv@econ.upenn.edu
AB  - 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.
ER  -