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Modèles VAR ou DSGE : que choisir ?

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  • Fabrice Collard
  • Patrick Fève

Abstract

[eng] This article compares the performance of VAR and DSGE models. We use the maximum likelihood method to estimate the models for the growth rates of U.S. hourly labor productivity and hours worked in 1959-2003. We show that DSGE models, when they include sufficient real rigidities (such as adjustment costs for investment and persistence of leisure habits), display predictive qualities at least equal to those of a VAR model. These empirical results suggest that structural characteristics make DSGE models preferable to VAR models , especially for identifying structural shocks and their effects on aggregate dynamics. [fre] L’objet de cet article est de comparer les performances relatives des modèles VAR et DSGE. Les modèles sont estimés par maximum de vraisemblance sur le taux de croissance de la productivité horaire du travail et les heures travaillées aux Etats-Unis pour la période 1959-2003. Nous montrons que les modèles DSGE, lorsqu’ils intègrent suffisamment de rigidités réelles (coûts d’ajustement sur l’investissement ou persistance des habitudes de loisir) ont des qualités prédictives au moins égales à celles d’un modèle VAR. Ces résultats empiriques suggèrent que, de par leur caractère structurel, les modèles DSGE doivent être préférés aux modèles VAR, notamment lorsqu’il s’agit d’identifier les chocs structurels et leurs effets sur la dynamique agrégée.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 183 (2008)
Issue (Month): 2 ()
Pages: 153-174

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_2008_num_183_2_7811

Note: DOI:10.3406/ecop.2008.7811
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Jean-Olivier Hairault, 1992. "Présentation et évaluation du courant des cycles réels," Économie et Prévision, Programme National Persée, vol. 106(5), pages 1-22.
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Cited by:
  1. Kamber, Günes, 2010. "Inflation dynamics under habit formation in hours," Economics Letters, Elsevier, vol. 108(3), pages 269-272, September.

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