VARMA representation of DSGE models

Stephen D. Morris

Economics Letters, 2016, vol. 138, issue C, 30-33

Abstract: This note develops simple conditions from which to determine the most concise VARMA representation of a given DSGE model. It is proven analytically that the Smets and Wouters (2007) model has exact VARMA(3,2) representation. In this model, the largest possible subset of structural parameters which is locally identifiable from the entire likelihood is also so merely from the subset of identifiable VARMA parameters.

Keywords: DSGE; Identification; VARMA (search for similar items in EconPapers)
JEL-codes: C32 C51 E12 E52 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:138:y:2016:i:c:p:30-33

DOI: 10.1016/j.econlet.2015.11.027

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