A simple check for VAR representations of DSGE models

Massimo Franchi and Anna Vidotto ()
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Anna Vidotto: Universita' di Roma "Tor Vergata"

No 2012/5, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

Abstract: 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.

Keywords: DSGE; VAR; invertibility; non-fundamentalness. (search for similar items in EconPapers)
Pages: 7 pages
Date: 2012-10
New Economics Papers: this item is included in nep-dge
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http://www.dss.uniroma1.it/RePec/sas/wpaper/20125_Franchi_Vidotto.pdf First version, 2012 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:sas:wpaper:20125

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