Estimation of DSGE model parameters
What you will learn
In these tutorials and videos I will present the theory and practice of parameter estimation in linear and non-linear DSGE models using several examples and Dynare’s estimation and method-of-moments toolbox. I will cover both full-information methods (Maximum Likelihood and Bayesian MCMC) as well as limited-information methods (GMM, SMM and GIRF-matching).
Recordings and lecture notes used in the session on Method-of-Moments estimation at the “Dynare summer school 2021”.