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dsge  

Dynamic Stochastic General Equilibrium Models
View on CRAN: Click here


Download and install dsge package within the R console
Install from CRAN:
install.packages("dsge")

Install from Github:
library("remotes")
install_github("cran/dsge")

Install by package version:
library("remotes")
install_version("dsge", "1.0.0")



Attach the package and use:
library("dsge")
Maintained by
Mustapha Wasseja Mohammed
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-04-02
Latest Update: 2026-04-02
Description:
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 first-order perturbation (linearization around deterministic steady state). Solution uses the method of undetermined coefficients (Klein, 2000 <doi:10.1016/S0165-1889(99)00045-7>). Likelihood evaluated via the Kalman filter. Bayesian estimation uses adaptive Random-Walk Metropolis-Hastings with prior specification. Additional tools include Kalman smoothing, historical shock decomposition, local identification diagnostics, parameter sensitivity analysis, second-order perturbation, occasionally binding constraints, impulse-response functions, forecasting, and robust standard errors.
How to cite:
Mustapha Wasseja Mohammed (2026). dsge: Dynamic Stochastic General Equilibrium Models. R package version 1.0.0, https://cran.r-project.org/web/packages/dsge. Accessed 18 Sep. 2026.
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