Bayesian Methods for DSGE Models and VARs: Course Materials
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Euro Area Business Cycle Network Training School |
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Hosted by the Bundesbank
Eltville, Germany 5-9 June 2006 Instructor: Frank Schorfheide; University of Pennsylvania Teaching Assistant: Georg Strasser; University of Pennsylvania |
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Monday, June 5
Introduction to Bayesian Inference
i. Motivation: DSGE models and their applications
ii. Bayesian analysis of linear regression models
iii. Markov Chain Monte Carlo (MCMC) methods
Day I lecture notes
Bayes linearreg.pdf
Policy motivation.pdf
Simulation based inference.pdf
Tuesday, June 6
Bayesian Estimation of DSGE Models
i. A prototypical New Keynesian DSGE model
ii. Constructing log-linear approximations
iii. The likelihood function
iv. Challenges for DSGE model estimation
v. Implementation of Bayesian analysis: posterior distributions of DSGE model parameters
Day 2 lecture notes
Challenges.pdf
Implementation.pdf
Likelihood dsge.pdf
Prototypical dsge.pdf
Solving dsge.pdf
Wednesday, June 7
Bayesian Estimation of DSGE Models (continued)
i. Some extensions: models with regime shifts, models with indeterminacies
Evaluation Method
i. Posterior odds comparisons
ii. Prior and posterior predictive checks
iii. Applications
Day 3 lecture notes
Application.pdf
Indeterminacy.pdf
Posterior odds.pdf
Predictive checks.pdf
Regime switches.pdf
Thursday, June 8
Vector Autoregressions
i.Theoretical properties of VARs and likelihood function
ii. Bayesian analysis of VARs
iii. Identification of VARs
iv. Applications
v. VARs and DSGE models
Day 4 lecture notes
Var and dsge.pdf
Var beyesian analysis.pdf
Var properties and likelihood.pdf
Var structual.pdf
Friday, June 9
Combining Vector Autoregressions and DSGE Models
i. Constructing priors from DSGE models for VARs
ii. Using DSGE-VARs for forecasting
iii. Model evaluation with DSGE-VARs
iv. Policy analysis with DSGE-VARs
Day 5 lecture notes
Dsge var.pdf
