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"

MoreLess

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

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (20 p)
Series:	ECB Working Paper ; No. 632
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2006 erstellt
Other identifiers:	10.2139/ssrn.902622 [DOI]
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:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013317596