Porovnat metody
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| Model dynamického stochastického všeobecného rovnovážného stavu (DSGE)× | Model vektorové autoregrese (VAR)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2007 | 2005 |
| Tvůrce≠ | Smets & Wouters; An & Schorfheide (Bayesian DSGE estimation) | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Typ≠ | Micro-founded macroeconomic general equilibrium model | Multivariate time-series model |
| Původní zdroj≠ | Smets, F. & Wouters, R. (2007). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review, 97(3), 586–606. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Další názvy | DSGE, dynamic stochastic general equilibrium, micro-founded macroeconomic model, Dinamik Stokastik Genel Denge Modeli (DSGE) | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Příbuzné≠ | 5 | 4 |
| Shrnutí≠ | A DSGE model is a micro-founded macroeconomic general equilibrium model that combines the optimising decisions of households, firms, and government under rational expectations. Popularised for empirical policy work by Smets and Wouters (2007) and given its Bayesian estimation framework by An and Schorfheide (2007), it is the standard tool for central-bank policy analysis, fiscal-shock simulation, and the study of business-cycle fluctuations. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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