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Syllabus
Syllabus
Syllabus
Program
Monday March 3, 2014. First and second order approximations to the solution of DSGE
models.
Tuesday, March 4, 2014. Maximum likelihood estimation of DSGE models
Wednesday, March 5, 2014, Introduction bayesian estimation and posterior simulators.
Thursday, March 6, 2014, Bayesian estimation of DSGEs
Friday, March 7, 2014, Forecasting and evaluation of DSGE models.
Reading list
1) Solution of DSGE models and approximation methods
Dynamic programming and Lagrangian multipliers approach.
Perturbation methods: linear and second order approximations.
Dynare vs. other programs.
References
Cooley, T., 1995, (ed.) Frontiers of Business Cycle Research , Princeton University Press.
Marimon R. and Scott, A. ,1999, (eds.) Computational Methods for the Study of Dynamic
Economies, Oxford University Press.
King, R., Plosser, C. and Rebelo, S., 2002, Appendix to Production, Growth and Business
Cycle: I The Basic Neoclassical models, Journal of Computational Economics, 20, 87-116.
2
Klein, P., 2000, Using the generalized Schur form to solve a multivariate linear rational
expectations model, Journal of Economic Dynamics and Control, 24, 1405-1423.
Uhlig, H., 1999, A methods for Analyzing Nonlinear Dynamic Stochastic Models Easily
in Marimon, R. and Scott A. (eds.) Computational Methods for the Study of Dynamic
Economies, Oxford University Press.
Schmitt-Grohe, S. and Uribe, M. 2004, Solving Dynamic General Equilibrium Models using
Second Order Approximation to the Policy function, Journal of Economic Dynamics and
Control, 28, 755-775
Kim, J., Kim S., Schaumburg, E. and Sims, C., 2008, Calculating and using Second Order
Accurate Solutions of Discrete Time Dynamic Equilibrium Models, Journal of Economic
Dynamics and Control, 32, 3397-3414.
Dynare manual, 2013, available on line at http://www.cepremap.cnrs.fr/dynare/
Den Haan, W., 2009, Perturbation methods, manuscript, available at http://www1.feb.uva.nl/
mint/wdenhaan/notes.htm.
3
Ireland, P., 2004, A method for taking Models to the data, Journal of Economic Dynamics
and Control, 28, 1205-1226.
Linde, J. , 2005, Estimating New Keynesian Phillips curve: A Full Information maximum
likelihood, Journal of Monetary Economics, 52, 1125-1159.
Canova, F. and Menz, T., 2011, The role of money in propagating business cycles: an international investigation, Journal of Money Credit and Banking,43, 577-609
4
Schorfheide, F, 2011 Estimation and Evaluation of DSGE models: Progress and challenges,
NBER working paper 16781.
Dri ll, J, Pesaran, H. Smith, R. G. Ascari, M. Miller, R. Werner (2011) The future of
macroeconomics, Manchester Journal, supplement, 1-38. (4 articles and an introduction).
Fernandez Villaverde, J., 2009, The econometrics of DSGE models, NBER working paper
14677.
Primiceri, G. and Justianiano, A., 2008, The time varying volatility of Macroeconomic Fluctuations, American Economic Review, 98, 604-641.
Smets, F. and R. Wouters, 2003, An Estimated Stochastic DSGE model of the Euro Area,
Journal of the European Economic Association, 5, 1123-1175.
Smets, F. and R. Wouters, 2007, Shocks and Frictions in US Business cycles, American
Economic Review, 97, 586-606.
Schorfheide, F., 2000 Loss function based evaluation of DSGE models, Journal of Applied
Econometrics, 15, 645-670.
5
Canova, F. and Paustian, M., 2011, Business cycle measurement with some theory, Journal
of Monetary Economics, 48, 365-381.
Chari, V., Kehoe, P. and McGratten, E., 2009, New Keynesian models: not yet useful for
policy analysis, American Economic Journal: Macroeconomics, 1, 242-266.
Canova, F., 2012, Bridging DSGE models and the data, available at http://www.crei.cat/people/canova.
Canova, F., and Ferroni, F., 2011, Multiple ltering devices for the estimation of DSGE
models, Quantitative Economics, 2, 73-98.