The present paper shows that a DSGE model can be represented by a finite order VAR if and only if the eigenvalues of the matrix defined in Fernández-Villaverde et al. (2007) are all equal to zero. Further it shows that this condition is equivalent to the unimodularity condition presented...

All economists say that they want to take their models to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

This paper analyzes the hypothesis of hysteresis in Europe. The results are favorable to smooth transition trend-stationarity in European unemployment rates around highly persistent structural changes. In addition, we find evidence of a common force that generates this nonlinear behavior.

Abstract The dynamics of Spanish unemployment in the last thirty years has been characterized by a high and persistent unemployment period (from 1982 to 1999) and by two transition periods, one of massive employment destruction (from 1972 to 1982) and one of massive employment creation (from...

This paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Auto Regressive (VAR) processes integrated of order 0, 1, 2, where the common cyclical features correspond to common serial correlation (CS), commonality in the final equations (CE)...