Working Paper: NBER ID: w14677
Authors: Jess Fernández-Villaverde
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 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.
Keywords: No keywords provided
JEL Codes: C11; C13; E10
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Formal estimation of DSGE models (C51) | Becoming a cornerstone of modern macroeconomics (B22) |
| Advancements in econometric methods (C51) | Sophistication of macroeconomic modeling (E17) |
| Shift to Bayesian methods (C11) | Effectiveness and efficiency of estimating DSGE models (C51) |
| Model specifications (nominal and real rigidities) (C54) | Realistic business cycle dynamics (E32) |