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A note on minimality in Dynare

Author

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  • Saccal, Alessandro

Abstract

Since January 2014 this note and a manuscript entailing it have shown that the syntactic implication ‘Minimal linear time invariant state space representations if Dynare’ is false, with consequences on the vector autoregression representations of the states in the outputs. In 2020 the Dynare team materially adopted the remedy of reducing its representations to minimal ones, as this note and the manuscript entailing it had been suggesting. The interested Dynare user must still manually reduce the representation to minimality.

Suggested Citation

  • Saccal, Alessandro, 2020. "A note on minimality in Dynare," MPRA Paper 103656, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:103656
    as

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    File URL: https://mpra.ub.uni-muenchen.de/103656/1/MPRA_paper_103656.pdf
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    References listed on IDEAS

    as
    1. Ivana Komunjer & Serena Ng, 2011. "Dynamic Identification of Dynamic Stochastic General Equilibrium Models," Econometrica, Econometric Society, vol. 79(6), pages 1995-2032, November.
    2. Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
    3. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
    4. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    5. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dynare; minimality; state space.;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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