A simple check for VAR representations of DSGE models

The present paper shows that there is a simple way to check whether a DSGE model can be represented by a finite order VAR. This consists in verifying that the eigenvalues of a certain matrix defined in Fernandez-Villaverde et al. (2007) are all equal to zero. Further we show that this condition is equivalent to the one in Ravenna (2007), which is, however, not easily applicable.

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Year of publication:	2012-10
Authors:	Franchi, Massimo ; Vidotto, Anna
Institutions:	Dipartimento di Scienze Statistiche, Facoltà di Scienze Statistiche
Subject:	DSGE \| VAR \| invertibility \| non-fundamentalness

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Extent:	application/pdf
Series:	DSS Empirical Economics and Econometrics Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 2012/5 7 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010584357