Estimation and Evaluation of DSGE Models: Progress and Challenges

This paper is based on a lecture delivered at the 2010 Econometric Society World Congress in Shanghai. It draws extensively from joint work with Boragan Aruoba and Marco Del Negro. I would like to thank Harald Uhlig and participants of the World Congress session on macroeconometrics for their helpful comments. Financial support from the National Science Foundation under grant SES-0617803 is gratefully acknowledged. Gauss Programs to replicate the empirical analysis as well as a Technical Appendix are available at http://www.ssc.upenn.edu/~schorf. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.