Un regard bayésien sur les modèles dynamiques de la macroéconomie

Stéphane Adjemian and Florian Pelgrin

Economie & Prévision, 2008, vol. n° 183-184, issue 2, 127-152

Abstract: 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.UnlikeVARmodels,DSGEmodels 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 underscorehowsterile theVAR/DSGEopposition is,wedescribe a recent approach that combines the best aspects of both models.

Keywords: Bayesian econometrics; VAR models; DSGE models (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Journal Article: Un regard bayésien sur les modèles dynamiques de la macroéconomie (2008)
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