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A, B, C's (and D)'s for Understanding VARs / Jesus Fernandez-Villaverde, Juan Rubio-Ramirez, Thomas J. Sargent.
- Format:
- Book
- Author/Creator:
- Fernandez-Villaverde, Jesus.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0308.
- NBER technical working paper series no. t0308
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- A, B, C's
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review circumstances under which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there are equal numbers of VAR and economic shocks.
- Notes:
- Print version record
- June 2005.
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