%0 Report %1 NBERt0308 %A Fernandez-Villaverde, Jesus %A Rubio-Ramirez, Juan %A Sargent, Thomas J. %B Technical Working Paper Series %D 2005 %K structural_var time_series var %N 308 %T A, B, C's (and D)'s for Understanding VARs %U http://www.nber.org/papers/t0308 %X 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.

@techreport{NBERt0308, 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.}, added-at = {2013-07-01T19:26:12.000+0200}, author = {Fernandez-Villaverde, Jesus and Rubio-Ramirez, Juan and Sargent, Thomas J.}, biburl = {https://www.bibsonomy.org/bibtex/26ee1c01ca5eb501bb91f8c6d9ec527fb/jp}, description = {A, B, C's (and D)'s for Understanding VARs}, institution = {National Bureau of Economic Research}, interhash = {22f1ec4f09caa9952a09bf1035fbc413}, intrahash = {6ee1c01ca5eb501bb91f8c6d9ec527fb}, keywords = {structural_var time_series var}, month = {June}, number = 308, series = {Technical Working Paper Series}, timestamp = {2013-07-01T19:26:12.000+0200}, title = {A, B, C's (and D)'s for Understanding VARs}, type = {Working Paper}, url = {http://www.nber.org/papers/t0308}, year = 2005 }