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.". © 2006 by the European Economic Association.

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Year of publication:	2006-04
Authors:	Giannone, Domenico ; Reichlin, Lucrezia
Institutions:	Solvay Brussels School of Economics and Management, Université Libre de Bruxelles

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Series:	ULB Institutional Repository.
Type of publication:	Book / Working Paper
Notes:	SCOPUS: cp.j Published in: Journal of the European Economic Association (2006) v.4 n° 2-3,p.455-465
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011011601