Dear Professor, if I would like to perform Bayesian estimation using multiple observational data, as in the paper “DSGE Models in a Data-Rich Environment”, how should I proceed?
DSGE MODELS IN A DATA-RICH ENVIRONMENT.pdf (639.1 KB)
I would try to look for replication files of more recent papers like
I don’t seem to have found a duplicate file for this paper
Have you tried contacting the author?
I tried to contact the author to ask for the code, but they haven’t replied. I saw in the paper that they used the algorithm from the screenshot I uploaded. I’ve taken a course on DSGE Bayesian estimation before, and I feel like the algorithm they used is different from what I learned. However, my research focuses on applied DSGE, and I find it quite challenging to implement DSGE algorithms, especially for Bayesian estimation.I know that in Dynare, you can directly set up multiple observation equations, and there can be a lot of observed variables and observation equations. Then you can proceed with Bayesian estimation directly. But I’m worried that if I use the standard Dynare Bayesian estimation method to estimate a DSGE-DFM model, since the observation equations also contain many parameters that need to be estimated, this might lead to numerical difficulties during the estimation process. Do you think this algorithm can be implemented using Dynare?
