The Econometrics of DSGE Models
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.
Much of the research reviewed in this paper was undertaken jointly with Juan Rubio-Ramírez, the best coauthor I could have hoped for. I thank Antonio Cabrales and Pedro Mira for the invitation to deliver the lecture that led to this paper, Wen Yao for research assistance, and the NSF for financial support. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.
Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," International Review of Economics, Springer, vol. 1(1), pages 3-49, March.
JesÃºs FernÃ¡ndez-Villaverde, 2010. "The econometrics of DSGE models," SERIEs, Spanish Economic Association, vol. 1(1), pages 3-49, March. citation courtesy of
Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March. citation courtesy of