Comparer des méthodes

	Modèle d'Équilibre Général Dynamique Stochastique (DSGE)	Modèle de Vector Autoregression (VAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2007	2005
Auteur d'origine	Smets & Wouters; An & Schorfheide (Bayesian DSGE estimation)	Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition
Type	Micro-founded macroeconomic general equilibrium model	Multivariate time-series model
Source fondatrice	Smets, F. & Wouters, R. (2007). Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach. American Economic Review, 97(3), 586–606.	Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Alias	DSGE, dynamic stochastic general equilibrium, micro-founded macroeconomic model, Dinamik Stokastik Genel Denge Modeli (DSGE)	vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon
Apparentées	5	4
Résumé	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).