Estimation and Evaluation of DSGE Models: Progress and Challenges
Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research.
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.
“Estimation and Evaluation of DSGE Models: Progress and Challenges.” Forthcoming in: D. Acemoglu, M. Arellano, and E. Deckel (eds .): “Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress,” Vol 3 , 2 013, Cambridge University Press , 184 - 230.