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Does information help recovering structural shocks from past observations?

Domenico Giannone () and Lucrezia Reichlin ()

Journal of the European Economic Association, 2006, vol. 4, issue 2-3, 455-465

Abstract: This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural vector autoregression 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." (JEL: C32, C33, E00, E32, O3) (c) 2006 by the European Economic Association.

Date: 2006
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Working Paper: Does information help recovering structural shocks from past observations? (2006)
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