| FEDERAL RESERVE BANK OF ATLANTA (2008) | |||||||||||||||||
Abstract | |||||||||||||||||
| ABSTRACT. 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, ˆB,C, ˆD) determines a vector autoregression for those same observables. We present a simple condition for checking when these two state space systems match up and when they don’t when there are equal numbers of economic and VAR shocks. We illustrates our condition with a permanent income example. | |||||||||||||||||
Details der Publikation | |||||||||||||||||
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