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Estimating Dynamic Stochastic General Equilibrium models in Stata

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  • David Schenck

    (StataCorp)

Abstract

Dynamic stochastic general equilibrium (DSGE) models are used in macroeconomics for policy analysis and forecasting. A DSGE model consists of a system of equations derived from economic theory. Some of these equations may be forward looking, in that expectations of future values of variables matter for the values of variables today. Expectations are handled in an internally consistent way, known as rational expectation. I describe the new dsge command, which estimates the parameters of linear DSGE models. I outline a typical DSGE model, estimate its parameters, discuss how to interpret dsge output, and describe the command's postestimation features.

Suggested Citation

  • David Schenck, 2017. "Estimating Dynamic Stochastic General Equilibrium models in Stata," Canadian Stata Users' Group Meetings 2017 05, Stata Users Group.
    • Handle: RePEc:boc:csug17:05
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    File URL: http://repec.org/csug2017/Canada17_Schenck.pdf
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