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Exercise DSGE Estimation

The document outlines a course on Bayesian Analysis of DSGE Models, focusing on the estimation of DSGE models using MATLAB. It includes instructions for implementing various algorithms, running programs to replicate results, and conducting analyses such as impulse response functions and posterior predictive checks. Additionally, it emphasizes the importance of comparing MATLAB implementations with lecture notes and modifying prior distributions.

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jessezheng742247
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5 views1 page

Exercise DSGE Estimation

The document outlines a course on Bayesian Analysis of DSGE Models, focusing on the estimation of DSGE models using MATLAB. It includes instructions for implementing various algorithms, running programs to replicate results, and conducting analyses such as impulse response functions and posterior predictive checks. Additionally, it emphasizes the importance of comparing MATLAB implementations with lecture notes and modifying prior distributions.

Uploaded by

jessezheng742247
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Frank Schorfheide ANU Course on Bayesian Analysis of DSGE Models

DSGE Model Estimation with MATLAB


(i) The Matlab programs implement the estimation of the DSGE model presented
in Chapter 4 of the Handbook. Familiarize yourself with the structure of the
programs by reading the readme files.
(ii) Look for the program that computes the likelihood function with the Kalman
filter. Compare the expressions in the code to the formulas in the lecture
notes.
(iii) Look for the program that implements the RW Metropolis algorithm. Com-
pare the MATLAB implementation to the outline of the algorithm in the
lecture notes.
(iv) Run the MATLAB programs to replicate the results presented in the paper.
(v) Change the prior distribution and vary the proposal density used in the RW
Metropolis algorithm.
(vi) Compute the impulse response functions for a technology shock. Graph the
median response as well as 90% credible bands.
(vii) Conduct posterior predictive checks.
(viii) Compute DSGE model forecasts.
(ix) Compute marginal likelihood values.

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