A, B, C's, (and D's) for understanding VARS
By: Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramírez, and Thomas Sargent.
Contributors: Rubio-Ramírez, Juan Francisco.; Sargent, Thomas J.; Federal Reserve Bank of Atlanta.
Series: Working paper series / Federal Reserve Bank of Atlanta ;; 2005-9; Working paper series (Federal Reserve Bank of Atlanta : Online) ;; 2005-9.
Publisher: Federal Reserve Bank of Atlanta
Published: 2005
Place of publication: [Atlanta, Ga.]
Language: eng
Format: Electronic resource
Subjects: Autoregression (Statistics); Vector analysis.
Description: "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 (VAR) for observables available to an econometrician.  We review circumstances in 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"--Federal Reserve Bank of Atlanta web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.