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:	[2021]
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Publisher:	[S.l.] : SSRN
Subject:	Schock \| Shock \| Theorie \| Theory \| Strukturwandel \| Structural change \| VAR-Modell \| VAR model \| Technischer Fortschritt \| Technological change \| Arbeitsproduktivität \| Labour productivity \| Arbeitszeit \| Working time

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