Estimating DSGE Models: Recent Advances and Future Challenges

نویسندگان

چکیده

We review the current state of estimation dynamic stochastic general equilibrium (DSGE) models. After introducing a framework for dealing with DSGE models, state-space representation, we discuss how to evaluate moments or likelihood function implied by such structure. discuss, in varying degrees detail, recent advances field, as tempered particle filter, approximated Bayesian computation, Hamiltonian Monte Carlo, variational inference, and machine learning. These methods show much promise but have not been fully explored community yet. conclude outlining three future challenges this line research.

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ژورنال

عنوان ژورنال: Annual Review of Economics

سال: 2021

ISSN: ['1941-1383', '1941-1391']

DOI: https://doi.org/10.1146/annurev-economics-081020-044812