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Un regard bayésien sur les modèles dynamiques de la macroéconomie

  • Stéphane Adjemian
  • Florian Pelgrin

[eng] Our article describes the Bayesian approach to the most highly regarded dynamic models in macroeconomics : DSGE (dynamic stochastic general-equilibrium) models and VAR (vector autoregressive) models. We present the main concepts in Bayesian analysis and show how to apply them to VAR models. We then explore the specific features of the Bayesian approach to DSGE models. Unlike VAR models, DSGE models cannot provide an analytical expression of the posterioi distribution. To overcome this difficulty we must resort to Monte-Carlo methods, whose main features we describe. Lastly , to underscore how sterile the VAR / DSGE opposition is, we describe a recent approach that combines the best aspects of both models. [fre] L’objet de cet article est de présenter l’approche bayésienne des modèles dynamiques les plus considérés en macroéconomie : les modèles DSGE (Dynamic Stochastic General Equilibrium ) et les modèles VAR. Nous présentons les principaux concepts de l’analyse bayésienne et montrons comment les appliquer dans le cadre des modèles VAR. Nous abordons ensuite les spécificités de l’approche bayésienne des modèles DSGE. Contrairement aux modèles VAR, il n’est plus possible d’obtenir une expression analytique de la distribution a posteriori. Pour pallier cette difficulté il est nécessaire de recourir à des méthodes de Monte-Carlo dont nous décrivons les principales techniques. Enfin, afin de souligner la nature stérile de l'opposition entre ces deux types de modélisation, nous terminons en présentant une approche récente permettant de combiner le meilleur des approches VAR et DSGE.

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File URL: http://dx.doi.org/doi:10.3406/ecop.2008.7810
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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 183 (2008)
Issue (Month): 2 ()
Pages: 127-152

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_2008_num_183_2_7810
Note: DOI:10.3406/ecop.2008.7810
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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