Future Challenges of Estimating DSGE Models

1. Continuous-time: Brunnermeier and Sannikov (2014), and Achdou et al. (2017)

2. Structural estimation of DSGE models in continuous time: Fernández-Villaverde et al. (2019)

3. Heterogeneous agents: Gornemann et al. (2012) and Kaplan et al. (2018)

4. Deep neural networks break the curse of dimensionality: Bach (2017), Fernández-Villaverde et al. (2019), Maliar et al. (2019), and Azinovic et al. (2019)

5. Unstructured data:

   • Rich data sets: Boivin and Giannoni (2006)
   • Latent Dirichlet allocation for text data: Casella et al. (2020)

References:

Achdou, Y., J. Han, J.-M. Lasry, P.-L. Lions, and B. Moll (2017): “Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach,” Working Paper 23732, National Bureau of Economic Research.

Azinovic, M., L. Gaegauf, and S. Scheidegger (2019): “Deep Equilibrium Nets,” Mimeo, University of Zurich, https://ssrn.com/abstract=3393482.

Bach, F. (2017): “Breaking the Curse of Dimensionality with Convex Neural Networks,” Journal of Machine Learning Research, 18, 629–681.

Boivin, J. and M. Giannoni (2006): “DSGE Models in a Data-Rich Environment,” Working Paper 12772, National Bureau of Economic Research.

Brunnermeier, M. K. and Y. Sannikov (2014): “A Macroeconomic Model with a Financial Sector,” American Economic Review, 104, 379–421.

Casella, S., J. Fernández-Villaverde, and S. Hansen (2020): “Structural Estimation of Dynamic Equilibrium Models with Unstructured Data,” Mimeo, University of Pennsylvania.

Fernández-Villaverde, J. and P. A. Guerrón-Quintana (2020): “Estimating DSGE Models: Recent Advances and Future Challenges,” Working Paper 27715, National Bureau of Economic Research.

Fernández-Villaverde, J., S. Hurtado, and G. Nuno (2019): “Financial Frictions and the Wealth Distribution,” Working Paper 26302, National Bureau of Economic Research.

Gornemann, N., K. Kuester, and M. Nakajima (2012): “Monetary Policy with Heterogeneous Agents,” Working Paper 12-21, Federal Reserve Bank of Philadelphia.

Kaplan, G., B. Moll, and G. L. Violante (2018): “Monetary Policy According to HANK,” American Economic Review, 108, 697–743.

Maliar, L., S. Maliar, and P. Winant (2019): “Will Artificial Intelligence Replace Computational Economists Any Time Soon?” CEPR Discussion Papers 14024, C.E.P.R. Discussion Papers.