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Does Information Help Recovering Structural Shocks from Past Observations?

Domenico Giannone () and Lucrezia Reichlin ()

No 5725, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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'.

Keywords: identification; information; invertibility; structural VAR (search for similar items in EconPapers)
JEL-codes: C32 C33 E00 E32 O3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
Date: 2006-06
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Journal Article: Does information help recovering structural shocks from past observations? (2006) Downloads
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Working Paper: Does information help recovering structural shocks from past observations? (2006)
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