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Testing for Sufficient Information in Structural VARs
Forni, Mario; Gambetti, Luca - Barcelona Graduate School of Economics (Barcelona GSE) - 2011
contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a … are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically. …
Persistent link: https://www.econbiz.de/10010547441
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Sufficient information in structural VARs
Forni, Mario; Gambetti, Luca - Dipartimento di Economia "Marco Biagi", Università … - 2011
We derive necessary and sufficient conditions under which a set of variables is information-ally sufficient, i ….e. contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we provide a … informationally sucient. When adding missing information, the effects of technology shocks change dramatically. …
Persistent link: https://www.econbiz.de/10009150876
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Testing for Sufficient Information in Structural VARs
Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2011
contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a … are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically. …
Persistent link: https://www.econbiz.de/10008854473
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Fiscal Foresight and the Effects of Government Spending
Forni, Mario; Gambetti, Luca - Barcelona Graduate School of Economics (Barcelona GSE) - 2010
We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...
Persistent link: https://www.econbiz.de/10010547211
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Fiscal Foresight and the Effects of Government Spending
Forni, Mario; Gambetti, Luca - Departament d'Economia i Història Econòmica, … - 2010
We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...
Persistent link: https://www.econbiz.de/10008693512
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Fiscal Foresight and the Effects of Government Spending
Forni, Mario; Gambetti, Luca - Dipartimento di Economia "Marco Biagi", Università … - 2010
We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...
Persistent link: https://www.econbiz.de/10008542659
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Fiscal Foresight and the Effects of Goverment Spending
Forni, Mario; Gambetti, Luca - C.E.P.R. Discussion Papers - 2010
We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be...
Persistent link: https://www.econbiz.de/10008468535
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Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States
Ravn, Morten O.; Simonelli, Saverio - Centro Studi di Economia e Finanza (CSEF) - 2007
We use a 12-dimensional VAR to examine the dynamic e®ects on the labor market of four structural technology and policy shocks. For each shock, we examine the dynamic effects on the labor market, the importance of the shock for labor market volatility, and the comovement between labor market...
Persistent link: https://www.econbiz.de/10005802029
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Labour Market Dynamics and the Business Cycle: Structural Evidence for the United States
Ravn, Morten O; Simonelli, Saverio - C.E.P.R. Discussion Papers - 2007
We use a 12-dimensional VAR to examine the dynamic effects on the labour market of four structural technology and policy shocks. For each shock, we examine the dynamic effects on the labour market, the importance of the shock for labour market volatility, and the comovement between labour market...
Persistent link: https://www.econbiz.de/10005123759
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Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States
Ravn, Morten O.; Simonelli, Saverio - Department of Economics, European University Institute - 2007
We use a 12-dimensional VAR to examine the dynamic effects on the labor market of four structural technology and policy shocks. For each shock, we examine the dynamic e®ects on the labor market, the importance of the shock for labor market volatility, and the comovement between labor market...
Persistent link: https://www.econbiz.de/10005744302