EconPapers    
Economics at your fingertips  
 

A, B, C's (and D)'s for Understanding VARs

Jesus Fernandez-Villaverde (), Juan F Rubio-Ramirez () and Thomas Sargent ()

No 308, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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,Sigma) determines a vector autoregression for observables available to an econometrician. We review circumstances under 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.

JEL-codes: E0 C11 C3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2005-06
Note: TWP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28) Track citations by RSS feed

Published as Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, Thomas J. Sargent, and Mark W. Watson, 2007. "ABCs (and Ds) of Understanding VARs," American Economic Review, vol. 97(3), pages 1021-1026.

Downloads: (external link)
http://www.nber.org/papers/t0308.pdf (application/pdf)

Related works:
Journal Article: ABCs (and Ds) of Understanding VARs (2007) Downloads
Working Paper: A,B,C's (and D's)'s for Understanding VARS (2006) Downloads
Working Paper: A,B,C's (and D's)'s for Understanding VARS (2005) Downloads
Working Paper: A, B, C’s, (and D’s) for understanding VARs (2005) Downloads
Working Paper: A, B, C’s (And D’s) For Understanding VARS (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberte:0308

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0308

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-09-14
Handle: RePEc:nbr:nberte:0308