Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - 2005
dynamics, as opposed to the covariance matrix of innovations, this identification
implicitly matches the short-run responses … mainly in the dynamics, as opposed to the covariance matrix
of innovations, this identification implicitly matches the short … of reduced-form innovations u
t
is normally distributed con-
ditional on past information with mean zero and covariance …