MARC Record from Scriblio

LEADER: 01936cam 22003257a 4500
001 2005618234
003 DLC
005 20050622094148.0
007 cr |||||||||||
008 050620s2005 mau sb 000 0 eng
010 $a 2005618234
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aFernández-Villaverde, Jesús
245 03 $aA, B, C's (and D)'s for understanding VARS$h[electronic resource] /$cJesus Fernandez-Villaverde, Juan Rubio-Ramirez, Thomas J. Sargent.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 308
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/20/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review circumstances under which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there are equal numbers of VAR and economic shocks"--National Bureau of Economic Research web site.
650 0 $aEconometric models.
650 0 $aStochastic analysis.
650 0 $aRegression analysis.
700 1 $aRubio-Ramírez, Juan Francisco.
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 308.
856 40 $uhttp://papers.nber.org/papers/T0308