ABCs (and Ds) of Understanding VARs

By Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez, Thomas J. Sargent, Mark W. Watson. 2007

509 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7e1115e316aa1d90a51b2e444f46c3f250dfa6a1

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In Economics and Econometrics

Citations in the corpus

Exchange Rate Regimes and Fiscal Multipliers (2013, methodology): “Beetsma, Giuliodori, and Klaassen (2009) report similar results. outlined in section 3 below and test whether the “poor man’s invertibility condition” developed by Fernández-Villaverde et al. (2007) is satisfied.”
OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS (2009, unknown): “II of Fernández-Villaverde et al., 2007).”
News shocks and business cycles (2011, unknown): “Yt = AtK θ tN 1−θ t (14) Yt = Ct + It +Gt (15) Gt = gtYt (16) lnAt = gA + lnAt−1 + ε1,t + ε2,t−j (17) ln gt = (1− ρ) ln g + ρ ln gt−1 + ε3,t (18) lnψt = ν lnψt−1 + ε4,t (19)”
Dynamic Identification of Dynamic Stochastic General Equilibrium Models (2011, unknown): “…nε), P(z;θ) ( InX 0nX×nε D−1(θ)C(θ) Inε ) = ( zInX − (A(θ)−B(θ)D−1(θ)C(θ)) B(θ) 0nY×nX D(θ) ) ∀z ∈ C Since det(P(z;θ))= det(D(θ))det(zInX − (A(θ)−B(θ)D−1(θ)C(θ)), the zeros of det(P(z;θ)) are the eigenvalues of A(θ)− B(θ)D−1(θ)C(θ), which is the test proposed in Fernández-Villaverde et al. (2007).”
Back to Square One: Identification Issues in DSGE Models (2009, background): “Christiano et al. (2006), Fernandez-Villaverde et al. (2007) and Chari et al. (2008) have studied invertibility problems in DSGE models and the ability of structural VARs to recover the dynamics induced by shocks.”
Local Projections vs. VARs: Lessons From Thousands of DGPs (2021, methodology): “We can then write the system in state-space form (Fernández-Villaverde et al., 2007),”
News, Noise, and Fluctuations: An Empirical Exploration (2013, unknown): “g, Fernández-Villaverde et al. (2007) and Leeper, Walker, and Yang (2009).”
Macroeconomic Shocks and Their Propagation (2016, methodology): “Fernandez-Villaverde et al. (2007) study this question by comparing the state-space representation of a theoretical model with the VAR representation.”
THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR (2009, background): “yt = fy t ; pxt; pmt; gt; taxt; gnet; debtt; gdpt; hpinft; inft; shortt; twitg ; (22) where yt consists of foreign output (y t ), the price of exports (pxt), the price of imports (pmt), real government expenditure (gt), real taxation revenue less transfers (taxt), absorption (represented by real gro”
Forecasting with DSGE Models (2010, unknown): “To estimate the marginal likelihood one may use the modified harmonic mean estimator, suggested by Geweke (1999); see also Geweke (2005). An alternative estimator, suggested by Chib and Jeliazkov (2001), relies on rewriting Bayes theorem into the so-called marginal likelihood identity.”