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Dynamic stochastic general equilibrium (DSGE) modelling in practice : identification, estimation and evaluation

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Estimating dynamic equilibrium models with stochastic volatility

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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction

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A frequency decomposition of approximation errors in stochastic discount factor models

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Estimation of the stochastic volatility by Markov Chain Monte Carlo

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Bayesian Estimation of DSGE Models

Guerrón-Quintana, Pablo A.; Nason, James Michael - 2021

We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK)DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the...

Persistent link: https://www.econbiz.de/10013214556

Bayesian Estimation of DSGE Models

Guerrón-Quintana, Pablo A. - 2012

We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK) DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the...

Persistent link: https://www.econbiz.de/10013110010