Modèles VAR ou DSGE: que choisir ?

Fabrice Collard and Patrick Fève

Economie & Prévision, 2008, vol. n° 183-184, issue 2, 153-174

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.

Keywords: VAR models; DSGE models; quantitative assessment method; identification (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_183_0153 (application/pdf)
http://www.cairn.info/revue-economie-et-prevision-1-2008-2-page-153.htm (text/html)
free

Related works:
Journal Article: Modèles VAR ou DSGE: que choisir ? (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cai:ecoldc:ecop_183_0153

Access Statistics for this article

More articles in Economie & Prévision from La Documentation Française
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().