DSGE - Bayesian Estimation
Posted: Mon Jul 06, 2009 2:26 pm
The attached files estimate a DSGE using Metropolis-Hastings with a uniform prior on the four coefficients. Note that the model has already been solved out into a backwards looking form and so could be done directly with DLM, though that would require changing the form a bit. DSGE can also be used to convert a model like this (written as formulas) into a standard state space form.