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Specify, solve, and estimate dynamic stochastic general equilibrium (DSGE) models by maximum likelihood and Bayesian methods. Supports both linear models via an equation-based formula interface and nonlinear models via string-based equations with perturbation up to third order (Schmitt-Grohe and Uribe, 2004 <doi:10.1016/S0165-1889(03)00043-5>). Solution uses the method of undetermined coefficients (Klein, 2000 <doi:10.1016/S0165-1889(99)00045-7>). Likelihood evaluated via the Kalman filter or a bootstrap particle filter (Gordon et al., 1993). Bayesian estimation uses adaptive Random-Walk Metropolis-Hastings or Particle Marginal Metropolis-Hastings (Andrieu et al., 2010 <doi:10.1111/j.1467-9868.2009.00736.x>) with parallel chain support. Additional tools include Bayes factor model comparison with Kass-Raftery evidence scales, Ramsey optimal policy via linear-quadratic regulator, nonlinear perfect foresight via stacked-time Newton (Juillard et al., 1998), Kalman smoothing, historical shock decomposition, local identification diagnostics, parameter sensitivity analysis, occasionally binding constraints, impulse-response functions, forecasting, and robust standard errors.
| Version: | 1.2.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | grDevices, graphics, stats, numDeriv |
| Suggests: | coda, Matrix, R.matlab, readxl, testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-09-25 |
| DOI: | 10.32614/CRAN.package.dsge |
| Author: | Mustapha Wasseja Mohammed [aut, cre] |
| Maintainer: | Mustapha Wasseja Mohammed <muswaseja at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | dsge results |
| Reference manual: | dsge.html , dsge.pdf |
| Vignettes: |
Introduction to the dsge Package (source, R code) |
| Package source: | dsge_1.2.0.tar.gz |
| Windows binaries: | r-devel: dsge_1.0.0.zip, r-release: dsge_1.0.0.zip, r-oldrel: dsge_1.0.0.zip |
| macOS binaries: | r-release (arm64): dsge_1.2.0.tgz, r-oldrel (arm64): dsge_1.0.0.tgz, r-release (x86_64): dsge_1.2.0.tgz, r-oldrel (x86_64): dsge_1.2.0.tgz |
| Old sources: | dsge archive |
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These binaries (installable software) and packages are in development.
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