4 A method to estimate DSGE models using the raw data is proposed. The approach 5 links the observables to the model counterparts via a ‡exible speci…cation which does 6 not require the model-based component to be solely located at business cycle frequen7 cies, allows the non model-based component to take various time series patterns, and 8 permits model misspeci…cation. Applying standard data ...

* This paper grew out of the Panel Discussion of the workshop " SDGE Models and their use in monetary policy " , held at the European Central Bank, June 5-6, 2001. I would like to thank the participants of the TSM conference in Touluse for comments and suggestions.

We review the current state of estimation dynamic stochastic general equilibrium (DSGE) models. After introducing a framework for dealing with DSGE models, state-space representation, we discuss how to evaluate moments or likelihood function implied by such structure. discuss, in varying degrees detail, recent advances field, as tempered particle filter, approximated Bayesian computation, Hamil...

Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central ban...

Recent literature points out that key variables such as aggregate productivity and in‡ation display long memory dynamics. We study the implications of this high degree of persistence on the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. We …rst show that long memory data can produce substantial bias in the deep parameter estimates when a standard Kalman Filter-MLE procedure...

This note documents a DSGE model of Climate Change. I extend the NK with geophysical variables, such as greenhouse gas emissions, carbon cycle, radiative forcing, and climate change. In this model, specify five different policy regimes: no policy, cap, intensive, tax, mandate.

Modern policy analysis makes extensive use of dynamic stochastic general equilibrium (DSGE) models. These models differ significantly from earlier generations of large-scale econometric models. I review what I see as major progress in the ability of economists to conduct model-based policy analysis. This progress has come through the evolution in the types of models being used and in a refineme...