Estimation and Evaluation of DSGE Models: Progress and Challenges

Frank Schorfheide

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Economic theories and models

Abstract

Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world.This paper reviews recent advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future research.

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1983Staggered prices in a utility-maximizing framework 1996Staggered Prices in a Utility-Maximizing Framework 2003An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area 2007Bayesian Analysis of DSGE Models 1988Indivisible labor, lotteries and equilibrium 2007Business Cycle Accounting 2010An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area 2000Inflation and Welfare

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2013Bayesian estimation of DSGE models 2015How Did We Get to Where We Are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics 2011BEYOND THE DSGE STRAITJACKET1 2014Forecasting with a DSGE Model of a Small Open Economy within the Monetary Union 2017A Monte Carlo procedure for checking identification in DSGE models 2016Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models

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