DMCA
The Econometrics of DSGE Models (2009)
| Citations: | 31 - 1 self |
BibTeX
@MISC{Fernández-villaverde09theeconometrics,
author = {Jesús Fernández-villaverde and Juan Rubio-ramírez},
title = {The Econometrics of DSGE Models},
year = {2009}
}
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Abstract
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 brie‡y 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 o¤ering some pointers for future research.
