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Title: The Econometrics of DSGE Models

Author(s): Jesús Fernández-Villaverde

Publication Date: February 2009

Keyword(s): Bayesian Methods, DSGE Models and Likelihood Estimation

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Fernández-Villaverde, J. 2009. 'The Econometrics of DSGE Models'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=7157