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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- Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Thomas J. Sargent & Mark W. Watson, 2007.
"ABCs (and Ds) of Understanding VARs,"
American Economic Review,
American Economic Association, vol. 97(3), pages 1021-1026, June.
- 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.
- 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.
- 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 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.
- 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.
- 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.
- G. Kapetanios & A. Pagan & A. Scott, 2005. "Making a match: Combining theory and evidence in policy-oriented macroeconomic modelling," CAMA Working Papers 2005-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- 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.
- 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, 2005. "Vector Autoregressions and Reduced Form Representations of DSGE Models," 2005 Meeting Papers 841, Society for Economic Dynamics.
- Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Working Papers 0619, Banco de España;Working Papers Homepage.
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2007. "Assessing Structural VARs," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 1-106 National Bureau of Economic Research, Inc.
- 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.).
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Assessing Structural VARs," NBER Working Papers 12353, National Bureau of Economic Research, Inc.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- 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.
- 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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