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 vector autoregression 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." (JEL: C32, C33, E00, E32, O3) (c) 2006 by the European Economic Association.

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Year of publication:	2006
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Published in:	Journal of the European Economic Association. - MIT Press. - Vol. 4.2006, 2-3, p. 455-465
Publisher:	MIT Press

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005737225