The Relationship Between DSGE and VAR Models

DOI10.1108/S0731-9053(2013)0000031001zbMath1443.62259MaRDI QIDQ3295721

Raffaella Giacomini

Publication date: 10 July 2020

Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

zbMATH Keywords

linearizationinvertibilitymodel evaluationimpulse-response functionfundamentalnessdynamic stochastic general equilibrium (DSGE) theoryvector autoregression (VAR) model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Dynamic stochastic general equilibrium theory (91B51)

Related Items (3)

Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ Financial frictions, the great trade collapse and international trade over the business cycle ⋮ Identifiability of structural singular vector autoregressive models

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