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A representation theory for polynomial cofractionality in vector autoregressive models

Franchi, Massimo - In: Econometric theory 26 (2010) 4, pp. 1201-1217

Persistent link: https://www.econbiz.de/10003993834

Testing for cointegration in I(1) state space systems via a finite order approximation

Franchi, Massimo - In: Economics letters 165 (2018), pp. 73-76

Persistent link: https://www.econbiz.de/10011973843

A check for finite order VAR representation of DSGE models

Franchi, Massimo; Vidotto, Anna - In: Economics letters 120 (2013) 1, pp. 100-103

Persistent link: https://www.econbiz.de/10009760449

Taking a DSGE model to the data meaningfully

Jusélius, Katarina (contributor); … - 2007

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....

Persistent link: https://www.econbiz.de/10003471380

Taking a DSGE model to the data meaningfully

Jusélius, Katarina (contributor); … - 2007

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....

Persistent link: https://www.econbiz.de/10003625862

Minimality of state space solutions of DSGE models and existence conditions for their VAR representation

Franchi, Massimo; Paruolo, Paolo - In: Computational economics 46 (2015) 4, pp. 613-626

Persistent link: https://www.econbiz.de/10011478892