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dc.contributor.author Rubio-Ramirez, J.F. en_US
dc.contributor.author Fernandez-Villaverde, Jesus en_US
dc.contributor.author Sargent, Thomas J. en_US
dc.date.accessioned 2010-03-09T15:23:59Z
dc.date.available 2010-03-09T15:23:59Z
dc.date.issued 2005 en_US
dc.identifier.uri http://hdl.handle.net/10161/1849
dc.description.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. en_US
dc.format.extent 318627 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher American Economic Review en_US
dc.subject Economic shocks en_US
dc.subject Innovations en_US
dc.subject Invertibility en_US
dc.subject Vector autoregression en_US
dc.title A, B, C's (and D)'s for Understanding VARs en_US
dc.type Journal Article en_US
dc.department Economics

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