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Browsing Duke Faculty Scholarship by Author "Fernandez-Villaverde, Jesus"

DukeSpace

Browsing Duke Faculty Scholarship by Author "Fernandez-Villaverde, Jesus"

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  • A, B, C's (and D)'s for Understanding VARs
    Rubio-Ramirez, J.F.; Fernandez-Villaverde, Jesus; Sargent, Thomas J. (American Economic Review, 2005)
    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 ...
  • Comparing Dynamic Equilibrium Economies to Data: A Bayesian Approach
    Rubio-Ramirez, J.F.; Fernandez-Villaverde, Jesus (Journal of Econometrics, 2004)
    This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspeci5ed, and nonlinear. First, ...
  • Economic and VAR Shocks: What Can Go Wrong?
    Rubio-Ramirez, J.F.; Fernandez-Villaverde, Jesus (Journal of the European Economic Association Paper and Proceedings, 2006)
    This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility based on the model ...