Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/100923
Authors: 
Fernández-Villaverde, Jesús
Rubio-Ramírez, Juan Francisco
Sargent, Thomas
Year of Publication: 
2005
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2005-09
Abstract: 
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, S) determines a vector autoregression (VAR) for observables available to an econometrician. We review circumstances in 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.
Document Type: 
Working Paper

Files in This Item:
File
Size
403.49 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.