A Bayesian Approach to Dynamic Models in Macroeconomics
Adjemian, Stéphane
A Bayesian Approach to Dynamic Models in Macroeconomics - 2008.
6
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.
A Bayesian Approach to Dynamic Models in Macroeconomics - 2008.
6
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.
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