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Linearized DSGEs

Write your model using a simple syntax. Solve the model at specified parameter values or estimate model parameters by maximum likelihood. Graph impulse responses and compare models.

Dynamic stochastic general equilibrium (DSGE) models

  • Write down your linear DSGE model using Stata's substitutable expression syntax
  • Solve linear DSGE models at specified parameter values
  • Estimate the parameters of linear DSGE models
  • Identification diagnostics
  • Robust standard errors

Postestimation

  • Obtain the state-space form of the model
  • View policy and state transition matrices
  • Standard errors for policy and state transition parameters
  • Assess the stability of your model

Predictions

  • One-step ahead predictions
  • Dynamic (multistep) predictions
  • RMSE of predictions

Learn more about Linearized DSGEs.

Impulse–response functions

  • Graph the dynamic response to a shock
  • Standard errors for impulse–response functions
  • Compare models
  • Compare output of a model under different parameter settings

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Additional resources

See New in Stata 15 for more about what was added in Stata 15.

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