Estimating DSGE Models

(Henning Weber (C3) und Samad Sarferaz (C5))
 
Some SFB 649 researchers seem to have interest in applying Bayesian methods for estimating DSGE models. This workshop aims at joining efforts to understand these methods. The workshop is not a tutorial. Rather, it is a platform to familiarize us with the estimation technique. The following is a suggested plan. Participants are invited to comment on this / make their own suggestions on the conduct of the workshop up to 5 days before the meeting. We start by clarifying the mechanical steps to obtain estimates of a simple DSGE model. Then we ‘dig into detail’. To this end, each participant is invited to prepare a short introduction into one specific aspect of the estimation technique, she or he is interested in / familiar with. If there is need we then have an in-depth discussion of the particular aspect. Aspects could be (but can be different from) implementation of the algorithm, MCMC methods, model comparison, identification, obtaining the likelihood, measurement errors or why to pursue likelihood estimation. In order to have informed discussions, we base the workshop on a set of notes and a paper
(see http://www.econ.upenn.edu/~schorf/research.htm for download):
 
  • Bayesian Methods for Macroeconometrics - Some Notes by Frank Schorfheide

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  • Bayesian Analysis of DSGE Models by Sungbae An and Frank Schorfheide (Sections 1 to 5.3 appear relevant for us)

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    Kontakt: Henning Weber, email