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Title: Solution and Estimation Methods for DSGE Models

Author(s): Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramírez and Frank Schorfheide

Publication Date: December 2015

Keyword(s): approximation error analysis, Bayesian inference, DSGE model, frequentist inference, GMM estimation, impulse response function matching, likelihood-based inference, Metropolis-Hastings algorithm, minimum distance estimation, particle filter, perturbation methods, projection methods and sequential Monte Carlo

Programme Area(s): Monetary Economics and Fluctuations

Abstract: This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.

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Bibliographic Reference

Fernández-Villaverde, J, Rubio-Ramírez, J and Schorfheide, F. 2015. 'Solution and Estimation Methods for DSGE Models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=11032