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Modèles VAR ou DSGE : que choisir ?

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  • Fabrice Collard
  • Patrick Fève

Abstract

This article compares the performance of VAR and DSGE models.We use themaximum 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 aVARmodel. 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.

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  • Fabrice Collard & Patrick Fève, 2008. "Modèles VAR ou DSGE : que choisir ?," Economie & Prévision, La Documentation Française, vol. 0(2), pages 153-174.
    • Handle: RePEc:cai:ecoldc:ecop_183_0153
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    2. Kamber, Günes, 2010. "Inflation dynamics under habit formation in hours," Economics Letters, Elsevier, vol. 108(3), pages 269-272, September.
    3. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.

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