Dear all,
Please I need any 'lecture notes' on dynamic stochastic general equilibrium (DSGE) modelling wrt Stata software.This is because most lecture notes on Google made use of Matlab and R, so if you have any DSGE notes that used Stata kindly send to me. I assure you that it will be for my personal use and not for re-distribution.
I've always obtained assistance on this Forum and I'm optimistic regarding this request.
Thanks in anticipation!....Ngozi
I'm a Statalister and I've posted the same request there. But yet to receive a response.
I think that the file below can help you
http://users.ox.ac.uk/~exet2581/Boe/dsge_all.pdf
good luck
Thanks Nadji, I have downloaded the pdf but unfortunately it is Matlab-tailored,
To my knowledge there are no DSGE models implemented in Stata, because Stata is designed for statistics, and DSGE is more so math than stats. Sometimes, one might use a stats package to estimate some of the parameters in a DSGE model. But even when this is done, it's usually implemented in Matlab or R, since the rest of the model is too.
I think STATA is not specifically designed for solving DSGE models but it can be manipulated to solve some parameters of the models which may still require the knowledge of some other applications.
Thank you Sun....I may have to learn how to use these softwares because I am most proficient in using Stata.
If you are still interested, Stata can now estimate DSGE models. But you have to provide a log-linearized version of your model and data.
Hi Gilbert,
Thanks for your response and I am so elated to know that Stata can now run DSGE model. But can I ask if you can give me a dofile to modify? I'll begreatful if you can.
Dear Ngozi.
Welcome. First, here is a link to the stata manual for DSGE models: https://www.stata.com/manuals/dsge.pdf
I am working on a linearized version of a model at the moment and could share it with you later. But my model is pretty complex, so may not be useful to you. Note that you need to do log-linearized version of your model as shown e.g. here https://www3.nd.edu/~esims1/log_linearization_sp17.pdf and https://www.stata.com/meeting/canada17/slides/Canada17_Schenck.pdf
Hi Gilbert,
Thanks for these links. I have downloaded the Stata15 Manual, Sims (2017) paper and Schenck's guide. But whenever you feel obligated to share your dofile, I'll be glad. However complex it may seem, I'm sure that'll find my way around it to make it useful and worthwhile.
...thanks again for helping, deeply appreciated!
Welcome. By the way, if you can post your model here [first order /optimality conditions and constraints], then we can go further. Alternatively, post your linearized version! :)
Should work on any modern version of Stata, so long as you install/update packages.
https://blog.stata.com/2018/04/23/dynamic-stochastic-general-equilibrium-models-for-policy-analysis/
HI, is there any one who can help me fitting DSGE model for fiscal policy please. I can fit the model for monetary policy using Stata 15 but I got stuck for fiscal policy.
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