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DSGE.jl is a Julia package developed by the Federal Reserve Bank of New York for estimating and analyzing dynamic stochastic general equilibrium (DSGE) models. It provides tools for Bayesian estimation, filtering, forecasting, and model comparison, supporting both academic research and policy applications. DSGE.jl includes pre-configured models used by central banks and offers extensibility for custom macroeconomic modeling.
Features
- Supports estimation and simulation of DSGE models
- Bayesian inference with MCMC and posterior analysis
- Forecasting and policy scenario simulations
- Model comparison and diagnostic tools
- Includes standard central bank models
- Built-in support for structural shocks and filtering
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