scholarly journals DSGE Models in a Data-Rich Environment

2007 ◽  
Author(s):  
Jean Boivin ◽  
Marc P. Giannoni
Keyword(s):  
Dsge Models

Bayesian Estimation of DSGE Models

2015 ◽  
Author(s):  
Edward P. Herbst ◽  
Frank Schorfheide
Keyword(s):  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Likelihood Function ◽  
Academic Research ◽  
Dynamic Stochastic General Equilibrium ◽  
Computational Techniques ◽  
Dsge Models ◽  
Monte Carlo Techniques ◽  
Dynamic Stochastic ◽  
Theoretical Foundations

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy analysis at central banks. This book introduces readers to state-of-the-art computational techniques used in the Bayesian analysis of DSGE models. The book covers Markov chain Monte Carlo techniques for linearized DSGE models, novel sequential Monte Carlo methods that can be used for parameter inference, and the estimation of nonlinear DSGE models based on particle filter approximations of the likelihood function. The theoretical foundations of the algorithms are discussed in depth, and detailed empirical applications and numerical illustrations are provided. The book also gives invaluable advice on how to tailor these algorithms to specific applications and assess the accuracy and reliability of the computations. The book is essential reading for graduate students, academic researchers, and practitioners at policy institutions.

Estimating DSGE Models with Long Memory Dynamics

2008 ◽  
Author(s):  
Gianluca Moretti ◽  
Giulio Nicoletti
Keyword(s):  
Long Memory ◽  
Dsge Models

Implementing Stochastic Volatility in DSGE Models: A Comment

2017 ◽  
Author(s):  
Lorenzo Bretscher ◽  
Alex C. Hsu ◽  
Andrea Tamoni
Keyword(s):  
Stochastic Volatility ◽  
Dsge Models

scholarly journals Misspecification and Expectations Correction in New Keynesian DSGE Models

2016 ◽  
Vol 78 (5) ◽  
pp. 623-649 ◽  
Author(s):  
Giovanni Angelini ◽  
Luca Fanelli
Keyword(s):  
New Keynesian ◽  
Dsge Models

scholarly journals Bayesian Evaluation of DSGE Models with Financial Frictions

2013 ◽  
Vol 45 (8) ◽  
pp. 1451-1476 ◽  
Author(s):  
MICHAŁ BRZOZA-BRZEZINA ◽  
MARCIN KOLASA
Keyword(s):  
Financial Frictions ◽  
Dsge Models
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