Publication Type
Journal Article
Version
acceptedVersion
Publication Date
5-2007
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 non-linear 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.
Keywords
Bayesian analysis, DSGE models, Model evaluation, Vector autoregressions
Discipline
Econometrics
Research Areas
Econometrics
Publication
Econometric Reviews
Volume
26
Issue
2-4
First Page
113
Last Page
172
ISSN
0747-4938
Identifier
10.1080/07474930701220071
Publisher
Taylor and Francis
Citation
An, Sungbae and Schorfheide, Frank.
Bayesian Analysis of DSGE Models. (2007). Econometric Reviews. 26, (2-4), 113-172.
Available at: https://ink.library.smu.edu.sg/soe_research/362
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/07474930701220071