DP5725 Does Information Help Recovering Structural Shocks from Past Observations?
|Author(s):||Domenico Giannone, Lucrezia Reichlin|
|Publication Date:||June 2006|
|Keyword(s):||identification, information, invertibility, structural VAR|
|JEL(s):||C32, C33, E00, E32, O3|
|Programme Areas:||International Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=5725|
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'.