A simple check for VAR representations of DSGE models
The present paper shows that there is a simple way to check whether a DSGE model can be represented by a finite order VAR. This consists in verifying that the eigenvalues of a certain matrix defined in Fernandez-Villaverde et al. (2007) are all equal to zero. Further we show that this condition is equivalent to the one in Ravenna (2007), which is, however, not easily applicable.
|Date of creation:||Oct 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Viale Regina Elena, 295 - palazzina G, 00161 Roma|
Phone: 06-4925 5302
Fax: 06-4925 5349
Web page: http://www.dss.uniroma1.it/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Thomas J. Sargent, 2005.
"A, B, C's (and D)'s for Understanding VARs,"
NBER Technical Working Papers
0308, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent & Mark Watson, 2006. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 321307000000000646, UCLA Department of Economics.
- Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez & Thomas J. Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper 2005-09, Federal Reserve Bank of Atlanta.
- Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A, B, C’s (And D’s) For Understanding VARS," PIER Working Paper Archive 05-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A,B,C's (and D's)'s for Understanding VARS," Levine's Bibliography 172782000000000096, UCLA Department of Economics.
- Federico Ravenna, 2005.
"Vector Autoregressions and Reduced Form Representations of DSGE Models,"
2005 Meeting Papers
841, Society for Economic Dynamics.
- Ravenna, Federico, 2007. "Vector autoregressions and reduced form representations of DSGE models," Journal of Monetary Economics, Elsevier, vol. 54(7), pages 2048-2064, October.
- Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España;Working Papers Homepage.
- Massimo Franchi & Paolo Paruolo, 2012.
"On ABCs (and Ds) of VAR representations of DSGE models,"
DSS Empirical Economics and Econometrics Working Papers Series
2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," Working Paper Series 56_12, The Rimini Centre for Economic Analysis, revised Aug 2012.
- Lippi, Marco & Reichlin, Lucrezia, 1994.
"VAR analysis, nonfundamental representations, blaschke matrices,"
Journal of Econometrics,
Elsevier, vol. 63(1), pages 307-325, July.
- Marco Lippi & Lucrezia Reichlin, 1994. "VAR analysis, non-fundamental representations, Blashke matrices," ULB Institutional Repository 2013/10151, ULB -- Universite Libre de Bruxelles.
- Lawrence J. Christiano & Martin Eichenbaum & Robert J. Vigfusson, 2006.
"Assessing structural VARs,"
International Finance Discussion Papers
866, Board of Governors of the Federal Reserve System (U.S.).
- Kapetanios, G. & Pagan, A. & Scott, A., 2007.
"Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling,"
Journal of Econometrics,
Elsevier, vol. 136(2), pages 565-594, February.
- Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
When requesting a correction, please mention this item's handle: RePEc:sas:wpaper:20125. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefano Fachin)
If references are entirely missing, you can add them using this form.