Reminder: DSGE Lectures: Bayesian Analysis of DSGE Models (7th and 8th of July, 2013)
Bayesian Analysis of DSGE Models (7th and 8th of July, 2013)
Presented by Professor Frank Schorfheide, Department of Economics, University of Pennsylvania
Dates: 7th – 8th July 2013
Please register for the workshop before the close date: 10th June 2013: http://rse.anu.edu.au/news_events/conferences.php#DSGE-Lecture
The lectures will discuss recent advances in the literature on the econometric analysis of Dynamic Stochastic General Equilibrium (DSGE) models, covering both methods and applications. We begin with an introduction to the Bayesian estimation of linearized as well as nonlinear DSGE models and review algorithms to generate draws from the posterior distribution of DSGE model parameters. Once these parameter draws are obtained the DSGE models can be used to provide quantitative answers to a variety of questions, e.g. about the sources of business cycle fluctuations, relative importance of endogenous propagation mechanisms, the effects of monetary and fiscal policy interventions. We present tools to evaluate the fit of DSGE models, review the forecasting performance of estimated DSGE models, and discuss novel methods of incorporating external information (about the current state of the economy and the long-run outlook) into DSGE model forecasts. Finally, we consider empirical models that relax some of the restrictions imposed by DSGE models. These specifications include VARs with priors derived from DSGE models, DSGE models that are embedded in state-space models, and mixtures of DSGE models. The lectures include practical MATLAB exercises that illustrate how to implement the estimation methods.
Background reading: Marco Del Negro and Frank Schorfheide (2011): “Bayesian Macroeconometrics,” in J. Geweke, G. Koop, and H. van Dijk (eds): The Oxford Handbook of Bayesian Econometrics, Oxford University Press.
Professor Schorfheide is also a Research Fellow at the Centre for Economic Policy Research (CEPR), a Research Associate at the National Bureau of Economic Research (NBER), and has been a Visiting Scholar at several central banks. He serves as Co-Editor of Quantitative Economics and has served in editorial roles with the International Economic Review, American Economic Review, Quantitative Economics, Macroeconomic Dynamics, Journal of Money, Credit, and Banking, Journal of Econometrics, and the Journal of Monetary Economics.
Professor Schorfheide conducts research in econometrics and macroeconomics. Much of his econometric works has focused on the problem of model evaluation and selection in situations in which some or all models under consideration are potentially misspecified. This research is motivated by the need for econometric methods that are suitable to analyze modern macroeconomic models, such as dynamic stochastic general equilibrium (DSGE) models. His research provides a set of tools that are useful for empirical work with modern macroeconomic models, including forecasting and policy analysis. He applied these methods to analyze the sources of business cycle fluctuations and to study the effects of monetary policy. (See the Research section of his personal page for detailed information.)
Professor Schorfheide currently advises various regional Federal Reserve Banks in regard to the use of DSGE models and Vector Autoregressions for forecasting and policy analysis.