Citation

Discussion Paper Details

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Title: Does Information Help Recovering Structural Shocks from Past Observations?

Author(s): Domenico Giannone and Lucrezia Reichlin

Publication Date: June 2006

Keyword(s): identification, information, invertibility and structural VAR

Programme Area(s): International Macroeconomics

Abstract: 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 non-fundamentalness be solved by considering additional information? The answer to the first question is 'yes' and that to the second is 'under some conditions'.

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Bibliographic Reference

Giannone, D and Reichlin, L. 2006. 'Does Information Help Recovering Structural Shocks from Past Observations?'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5725