Does information help recovering fundamental structural shocks from past observations?

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are fundamental? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the firrst question is 'yes' and that to the second is 'under some conditions'.

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Year of publication:	2005-11-15
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Institutions:	EconWPA

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Extent:	application/pdf
Series:	Macroeconomics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 12 12 pages
Classification:	C32 - Time-Series Models ; C33 - Models with Panel Data ; E00 - Macroeconomics and Monetary Economics. General ; E32 - Business Fluctuations; Cycles ; O3 - Technological Change; Research and Development
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005126133