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”. JEL Classification: C32, C33, E00, E32, O3

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Year of publication:	2006-05
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Institutions:	European Central Bank

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0632
Classification:	C32 - Time-Series Models ; O3 - Technological Change; Research and Development
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005816321