EconPapers    
Economics at your fingertips  
 

Sufficient information in structural VARs

Mario Forni () and Luca Gambetti ()

Journal of Monetary Economics, 2014, vol. 66, issue C, 124-136

Abstract: Necessary and sufficient conditions under which a VAR contains sufficient information to estimate the structural shocks are derived. On the basis of this theoretical result we propose two simple tests to detect informational deficiency and a procedure to amend a deficient VAR. A simulation based on a DSGE model with fiscal foresight suggests that our method correctly identifies and fixes the informational problem. In an empirical application, we show that a bivariate VAR including unemployment and labor productivity is informationally deficient. Once the relevant information is included into the model, technology shocks appear to be contractionary.

Keywords: Non-fundamentalness; FAVAR models; ABCD representation (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393214000634
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Sufficient information in structural VARs (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:66:y:2014:i:c:p:124-136

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-05-07
Handle: RePEc:eee:moneco:v:66:y:2014:i:c:p:124-136