Discussion paper

DP5725 Does Information Help Recovering Structural Shocks from Past Observations?

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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Citation

reichlin, l and D Giannone (eds) (2006), “DP5725 Does Information Help Recovering Structural Shocks from Past Observations?”, CEPR Press Discussion Paper No. 5725. https://cepr.org/publications/dp5725