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'.