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Title: Bayesian Analysis of DSGE Models

Author(s): Sungbae An and Frank Schorfheide

Publication Date: September 2005

Keyword(s): Bayesian analysis, DSGE models, model evaluation and vector autoregressions

Programme Area(s): International Macroeconomics

Abstract: This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to a reference model, as well as the estimation of second-order accurate solutions of DSGE models. These methods are applied to data generated from a linearized DSGE model, a vector autoregression that violates the cross-coefficient restrictions implied by the linearized DSGE model, and a DSGE model that was solved with a second-order perturbation method.

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Bibliographic Reference

An, S and Schorfheide, F. 2005. 'Bayesian Analysis of DSGE Models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5207