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 nonfundamentalness be solved by considering additional information? The answer to the first question is “yes” and that to the second is “under some conditions”.

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Year of publication:	2006
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	VAR-Modell \| Schock \| Technischer Fortschritt \| Arbeitsproduktivität \| Arbeitszeit \| Strukturwandel \| Theorie \| C33 \| E00 \| E32 \| Classification-JEL: C32 \| O3

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Series:	ECB Working Paper ; 632
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	514060719 [GVK] hdl:10419/153066 [Handle] RePEc:ecb:ecbwps:20060632 [RePEc]
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:	EconStor

Persistent link: https://www.econbiz.de/10011604678