A, B, C's (and D)'s for Understanding VARs
收藏NBER2005-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0308
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资源简介：
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. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review
提供机构：
美国国家经济研究局
创建时间：
2005-06-01
