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'.