DSGE Models in Stata tutorial

DSGE Models in Stata tutorial. Welcome to class 5 of my free DSGE course in Stata. In this tutorial, I will teach you how to estimate non-linear Dynamic Stochastic General Equilibrium (DSGE) models in Stata 16. The "dsgenl" command is available at Stata 16 (and posterior versions).

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Recall we have seen in previous videos how to set up a Real Business Cycle (RBC) model and solve the dynamic equations manually. Now, it is time to write the competitive equilibrium equations in Stata.

DSGE models can be linear or non-linear in variables and parameters. If you are estimating linear DSGE models in Stata, you use the "dsge" command. A common practice is linearizing the model's dynamic equations before writing them in the software.

If your DSGE model is non-linear (like our example), you can estimate the model using the "dsgenl" command in Stata. It gives us the flexibility to write the equations in any format, BUT we must specify some additional options so Stata knows how to treat each variable in our DSGE model.

There are three types of variables in the Stata DSGE environment. Control variables, state variables, and shocks. The variables in our DSGE model can be observed (Real Data) or unobserved.

Finally, DSGE models in Stata involve 3 blocks:
1- Importing the data and setting a time variable (tsset command).
2- Defining the DSGE Parameters of the model (in Stata, it is called constraint).
3- Writing the DSGE Dynamic Equations

-The current model is inspired by Kydland and Prescott (1982), Prescott(1986) and King & Sergio Rebelo (1999). Review their research papers for further details

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*** IMPORTANT: The present video is class number 4 of my free DSGE course. In this course I teach you how to solve a real business model step by step and write the dynamic equations in the software. Finally, we compute the steady state, impulse response functions and out of sample forecast**
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🕘 Timestamps:

👋 Introduction 0:00
📊 DSGE Stata commands overview 1:12
📊 dsgenl command in Stata 3:11
📊 3 kind of variables in Stata DSGE 4:35
📊 3 DSGE blocks in Stata 6:03
📊 Define DSGE parameters in Stata 7:16
📊 Write DSGE dynamic Equations 8:46
📊 dsgenl options in Stata 13:54
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