This paper proposes a recursive procedure that characterizes the order of the pole and the coecients of the Laurent series representation of the inverse of a regular analytic matrix function. The algorithm consists in performing a finite sequence of rank factorizations of matrices of...

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...

The `local rank factorization' (lrf) of a regular matrix polynomial at an eigenvalue consists of a sequence of matrix rank factorizations of a certain function of its coecients; the lrf delivers the local Smith form and extended canonical systems of root functions that correspond to the...

This paper shows that the poor man's invertibility condition in Fernandez-Villaverde et al. (2007) is, in general, sufficient but not necessary for fundamentalness; that is, a violation of this condition does not necessarily imply the impossibility of recovering the structural shocks of a DSGE...

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....

All economists say that they want to take their model 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....

The aim of this paper is to use inequality restrictions on the parameters of a structural model to find bounds on impulse response functions which are valid for any structural representation satisfying those restrictions. Economic theories specify signs and bounds of the coefficients which are...

We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...