Does Information Help Recovering 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 truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and that to the second is 'under some conditions'.

MoreLess

Year of publication:	2006-06
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Institutions:	C.E.P.R. Discussion Papers
Subject:	identification \| information \| invertibility \| structural VAR

Online Resource

Check full text access |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 5725
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/10005666465