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Does information help recovering structural shocks from past observations?

Giannone, Domenico; Reichlin, Lucrezia - 2006

Persistent link: https://www.econbiz.de/10003353028

Does information help recovering structural shocks from past observations?

Giannone, Domenico; Reichlin, Lucrezia - In: Journal of the European Economic Association 4 (2006) 2/3, pp. 455-465

Persistent link: https://www.econbiz.de/10003353460

Alternative procedures for estimating vector autoregressions identified with long-run restrictions

Christiano, Lawrence J.; Vigfusson, Robert J.; … - In: Journal of the European Economic Association 4 (2006) 2/3, pp. 475-483

Persistent link: https://www.econbiz.de/10003353466

Productivity, participation and population in the Australian states

Crossman, Peter; Meyer-Boehm, Gudrun; Skinner, Antony - In: Engaging the new world : responses to the knowledge …, (pp. 509-532). 2006

Persistent link: https://www.econbiz.de/10003335050

Does information help recovering structural shocks from past observations?

Giannone, Domenico (contributor); … - 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 yesʺ and...