Small noise methods for risk-sensitive/robust economies
In: Journal of economic dynamics & control, Band 36, Heft 4, S. 468-500
ISSN: 0165-1889
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In: Journal of economic dynamics & control, Band 36, Heft 4, S. 468-500
ISSN: 0165-1889
In: Journal of Money, Credit, and Banking, Forthcoming
SSRN
In: NBER macroeconomics annual, Band 21, S. 181-246
ISSN: 1537-2642
In: Journal of political economy, Band 110, Heft 6, S. 1220-1254
ISSN: 1537-534X
In: The Economic Journal, Band 93, Heft 370, S. 442
In: NBER Working Paper No. w19470
SSRN
In: American economic review, Band 97, Heft 3, S. 1021-1026
ISSN: 1944-7981
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, ^ B,C, ^D) 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 do not when there are equal numbers of economic and VAR shocks. We illustrate our condition with a permanent income example. (JEL C32, E32)
In: Economica, Band 60, Heft 239, S. 369