A, B, C's (and D)'s for understanding VARS
By: Jesus Fernandez-Villaverde, Juan Rubio-Ramirez, Thomas J. Sargent.
Contributors: Rubio-Ramírez, Juan Francisco.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 308; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 308.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Econometric models.; Stochastic analysis.; Regression 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 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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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