Jesús Fernández-Villaverde

Overview

Jesús Fernández-Villaverde is an economist at the University of Pennsylvania known for bridging DSGE theory and Bayesian econometrics, particularly for work on the state-space representation of DSGE models and their connection to VARs.

Key Contributions / Features

• Fernández-Villaverde, Rubio-Ramírez, and Sargent (2005) — "A, B, C's (and D)'s for Understanding VARs": derived the invertibility condition for whether a DSGE model's impulse responses can be recovered from an estimated VAR; introduced the eigenvalue check $\rho(A - BD^{-1}C) < 1$.
• Broader research on Bayesian estimation of DSGE models, nonlinear DSGE inference, and structural VARs.

Related

• Juan Rubio-Ramírez
• Thomas Sargent
• State-Space Representation
• Invertibility Problem
• Vector Autoregression