Year: 2006
Type: report
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 vector autoregressions, as well as the nonlinear estimation based on a second-order accurate model solution.These methods are applied to data generated from correctly specified and misspecified linearized DSGE models, and a DSGE model that was solved with a second-order perturbation method.
Source: Working paper
Authors: Sungbae An, Frank Schorfheide
Language: English
Domain: Social Sciences
Open Access status: bronze
Funder: Alfred P. Sloan Foundation
OpenAlex ID: W3124016391