Hi everyone,
I’m currently involved in an R course with a group of macroeconomists, and the dsge package came up in one of our discussions. I wanted to ask whether anyone here has used it for research, teaching or policy analysis.
From the documentation, it supports linear and nonlinear DSGE models, maximum likelihood and Bayesian estimation, impulse responses, forecasting and shock decomposition. It can also import supported Dynare .mod files and solve or estimate the models directly in R, without requiring MATLAB, Octave or Dynare.
I’d be interested to hear how it works in practice, particularly for estimation and diagnostics. Has anyone compared its results with Dynare, or tried importing an existing model? Any experiences with larger models, limitations you’ve encountered, or examples worth trying would be helpful for our discussions.
Thanks!