DP15164 Estimating DSGE Models: Recent Advances and Future Challenges
|Author(s):||Jesús Fernández-Villaverde, Pablo A. Guerron-Quintana|
|Publication Date:||August 2020|
|Keyword(s):||Bayesian methods, DSGE models, estimation, MCMC, Variational Inference|
|JEL(s):||C11, C13, E30|
|Programme Areas:||Monetary Economics and Fluctuations|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=15164|
We review the current state of the estimation of DSGE models. After introducing a general framework for dealing with DSGE models, the state-space representation, we discuss how to evaluate moments or the likelihood function implied by such a structure. We discuss, in varying degrees of detail, recent advances in the field, such as the tempered particle filter, approximated Bayesian computation, the Hamiltonian Monte Carlo, variational inference, and machine learning, methods that show much promise, but that have not been fully explored yet by the DSGE community. We conclude by outlining three future challenges for this line of research.