MARC Record from Scriblio

LEADER: 02101cam 22003377a 4500
001 2005619263
003 DLC
005 20050725081712.0
007 cr |||||||||||
008 050616s2005 gau sb f000 0 eng
010 $a 2005619263
040 $aDLC$cDLC$dDLC
050 00 $aHB1
100 1 $aFernández-Villaverde, Jesús.
245 10 $aA, B, C's, (and D's) for understanding VARS$h[electronic resource] /$cJesús Fernández-Villaverde, Juan Francisco Rubio-Ramírez, and Thomas Sargent.
260 $a[Atlanta, Ga.] :$bFederal Reserve Bank of Atlanta,$c[2005]
490 1 $aWorking paper series / Federal Reserve Bank of Atlanta ;$v2005-9
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/16/2005.
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 (VAR) for observables available to an econometrician. We review circumstances in 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"--Federal Reserve Bank of Atlanta web site.
650 0 $aAutoregression (Statistics)
650 0 $aVector analysis.
653 $aVector autoregression;$aeconomic shocks;$ainnovations;$ainvertibility
700 1 $aRubio-Ramírez, Juan Francisco.
700 1 $aSargent, Thomas J.
710 2 $aFederal Reserve Bank of Atlanta.
830 0 $aWorking paper series (Federal Reserve Bank of Atlanta : Online) ;$v2005-9.
856 40 $uhttp://www.frbatlanta.org/invoke.cfm?objectid=E70EC6CE-5056-9F06-990B36A2FEAD2B5E&method=display