Similar Search Results

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - 2005

is two. We also show that dimension two is generated by a real and nominal shock, with output mainly driven by the real … shock and inflation by the nominal shock. The implication is that, by tracking any forecastable measure of real activity and …

Persistent link: https://www.econbiz.de/10014066472

Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Sala, Luca; Giannone, Domenico; Reichlin, Lucrezia - 2004

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989 and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This paper compares estimation...

Persistent link: https://www.econbiz.de/10014071938

Does Information Help Recovering Structural Shocks from Past Observations?

Giannone, Domenico; Reichlin, Lucrezia - 2021

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...

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

Does information help recovering structural shocks from past observations?

Giannone, Domenico; Reichlin, Lucrezia - 2006

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”...

Persistent link: https://www.econbiz.de/10011604678