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VAR or DSGE Models: Which Should We Choose?

Par : Contributeur(s) : Type de matériel : TexteTexteLangue : français Détails de publication : 2008. Sujet(s) : Ressources en ligne : Abrégé : 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.
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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.

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