Bayesian Estimation Teaching

[asprilqjs]

Dear Professor, I would like to learn how to write code from scratch to perform Bayesian estimation of DSGE models. Do you have any recommended learning materials, preferably with code explanations? Thank you!

[DiegoHidaFl]

Econometrics teaching notes using Dynare Julia

I have updated my econometrics lecture notes to use Dynare on Julia for ML and Bayesian estimation of a linearized mode. There is some comparison to other estimation methods, too: GMM, Bayesian GMM, and forms of simulated moments estimation. The short story, using a very simple theoretical model, is that the linearization/ML/Bayesian approach gives fairly accurate point estimates, but the reliability of confidence intervals is in some doubt. The use of Dynare is in Chapters 15 and 17, in case th…

It might be of your interest, in particular chapter 17.

[jpfeifer]

See also

Learning about Empirical DSGE Analysis

Hey Community, in the upcoming weeks I would like to invest my time to learn as much as I can about “empirical DSGEs”. I know that there is already a lot of literature writen about the estimation of DSGE models and related empirical applications, e.g. Smets & Wouters (2003, 2007); An & Schorfheide (2007); the Handbook Chapters in the Handbook of Macroeconomics of Lindé et al. (2016) and Fernández-Villaverde et al. (2016) as well as the Chapter of Del Negro & Schorfheide (2013) in the Handbook …