Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca - IGIER (Innocenzo Gasparini Institute for Economic … - 2014
We investigate the role of "noise" shocks as a source of business cycle fl uctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of...