BayesianEstimationDSGEModels

Julia codes for the estimation of the 3-equation New Keynesian model following the methods described Herbst and Schorheide's book "Bayesian Estimation of DSGE Models"

The provided codes run under Julia v0.6.4 and draw from two main sources :

• The Matlab codes accompanying Herbst and Schorheide's book "Bayesian Estimation of DSGE Models" available here
• The replication files of Justiniano, Primiceri & Tambalotti (2011) "Investment shocks and the relative price of investment" (Review of Economic Dynamics) available here