Economic and Var Shocks: What Can Go Wrong?
讨论动态均衡模型中的经济冲击与VAR创新之间的可逆性问题，提出基于模型基础的代数可逆性检验，并在可逆时给出恢复经济冲击的识别方案，并用大萧条模型示例。
This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility based on the model fundamentals and we find the identification scheme that recovers the economic shocks from the VAR innovations when the model is invertible. We illustrate our results with a model of the Great Depression proposed by Christiano, Motto, and Rostagno (2003).