ABCs (and Ds) of Understanding VARs
ABCs (and Ds) of Understanding VARs
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Publisher
Nashville: American Economic Association
Journal title
Language
English
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Publisher
Nashville: American Economic Association
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Scope and Contents
Contents
The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state space system for a vector of observables. An associated state space system (A, ^ B,C, ^D) determines a vector autoregression for those same observables. We present a simple condition for checking when the...
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Full title
ABCs (and Ds) of Understanding VARs
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Record Identifier
TN_cdi_proquest_miscellaneous_36700343
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_36700343
Other Identifiers
ISSN
0002-8282
E-ISSN
1944-7981
DOI
10.1257/aer.97.3.1021
