Bayesian Analysis of DSGE Models
综述了近年来用于估计和评估动态随机一般均衡（DSGE）模型的贝叶斯方法，包括线性化模型的估计、模型检验、后验概率比较以及与向量自回归的比较，并应用于正确设定和错误设定的模型数据。
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons, and comparisons to vector autoregressions, as well as the non-linear estimation based on a second-order accurate model solution. These methods are applied to data generated from correctly specified and misspecified linearized DSGE models and a DSGE model that was solved with a second-order perturbation method.