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Estimation of dynamic stochastic general equilibrium models (in Russian) [PDF]

Quantile, 2014
This essay is a survey of the main econometric approaches to estimation of the dynamic stochastic general equilibrium (DSGE) models widely used by central banks and federal reserves. The paper discusses in detail the main econometric problems arising in inferences about the parameters of the log-linearized DSGE models.
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Stationary equilibrium in stochastic dynamic models: Semi-Markov strategies

Economic Theory Bulletin, 2021
Subir Chakrabarti
exaly  

ARGEM: A Dynamic Stochastic General Equilibrium Model for Argentina [PDF]

The last few years have seen an explosion of Dynamic and Stochastic General Equilibrium (DSGE) models built for policy analysis and forecasting in industrialized countries. The set of papers presented to the recent joint U.S. Federal Reserve Board-European Central Bank-IMF conference: "DSGE Modeling at Policymaking Institutions: Progress & Prospects ...
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Evaluating Dynamic Stochastic General Equilibrium Models using Likelihood [PDF]

, 2002
This paper develops a method that uses a likelihood approach to directly compare two or more non-nested dynamic, stochastic general equilibrium (DSGE) models. It is shown how DSGE models can be compared across the whole sample and how this measure can be decomposed across individual observations thus allowing models to be compared across any sub-sample
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Essays on Empirical Dynamic Stochastic General Equilibrium Models

2010
The overall goal of this thesis is to provide a deeper understanding of the role of dynamic stochastic general equilibrium (DSGE) models as foundations upon which empirical work is conducted. This is a very broad topic with a large existing literature. For this purpose, my dissertation focuses on applying the tools and rich structure of DSGE models to
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AGENT-BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?

Journal of Economic Surveys, 2018
Robert Calvert Jump, Paul Levine
exaly  

Estimating dynamic equilibrium models with stochastic volatility

Journal of Econometrics, 2015
Jesús Fernández-Villaverde, Pablo A. Guerron   +1 more
exaly  

Modelling productivity shocks and economic growth using the Bayesian dynamic stochastic general equilibrium approach

International Journal of Contemporary Hospitality Management, 2018
Haiyan Song, Adam Blake, Anyu Liu
exaly  

A preliminary exploration on stochastic dynamic asset allocation models under a continuous-time sticky-price general equilibrium

Applied Economics, 2019
Yue Yu
exaly  

Dynamic pricing, heterogeneous users and perception error: Probit-based bi-criterion dynamic stochastic user equilibrium assignment

Transportation Research Part C: Emerging Technologies, 2013
Kuilin Zhang, Hani Mahmassani
exaly