Estimation and Evaluation of DSGE Models: Progress and Challenges

52 Pages Posted: 4 Feb 2011

See all articles by Frank Schorfheide

Frank Schorfheide

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER); University of Pennsylvania - The Penn Institute for Economic Research (PIER)

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Date Written: January 31, 2011

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.

Keywords: Bayesian Inference, DSGE Models, Hybrid Models, Identification, Misspecification, Policy Analysis, Shock Specification

JEL Classification: C5, E4, E5

Suggested Citation

Schorfheide, Frank, Estimation and Evaluation of DSGE Models: Progress and Challenges (January 31, 2011). FRB of Philadelphia Working Paper No. 11-7, Available at SSRN: https://ssrn.com/abstract=1754684 or http://dx.doi.org/10.2139/ssrn.1754684

Frank Schorfheide (Contact Author)

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States

HOME PAGE: http://www.econ.upenn.edu/~schorf

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

University of Pennsylvania - The Penn Institute for Economic Research (PIER) ( email )

Philadelphia, PA
United States

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