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.
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PIER Working Paper Archive
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Working Paper Series
56_12, The Rimini Centre for Economic Analysis, revised Aug 2012.
- 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.
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ULB Institutional Repository
2013/10151, ULB -- Universite Libre de Bruxelles.
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