A check for finite order VAR representations of DSGE models

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 in Ravenna (2007).

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Year of publication:	2013
Authors:	Franchi, Massimo ; Vidotto, Anna
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 120.2013, 1, p. 100-103
Publisher:	Elsevier
Subject:	DSGE models \| Vector autoregressions \| Invertibility \| Fundamentalness

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Type of publication:	Article
Classification:	C01 - Econometrics ; c18 ; C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041775