Does information help recovering structural shocks from past observations?

Domenico Giannone and Lucrezia Reichlin

No 632, Working Paper Series from European Central Bank

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 nonfundamentalness be solved by considering additional information? The answer to the first question is "yes" and that to the second is "under some conditions". JEL Classification: C32, C33, E00, E32, O3

Keywords: C33; E00; E32; JEL Classification: C32; O3. (search for similar items in EconPapers)
Date: 2006-05
Note: 93468
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (120)

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Related works:
Journal Article: Does information help recovering structural shocks from past observations? (2006)
Working Paper: Does Information Help Recovering Structural Shocks from Past Observations? (2006)
Working Paper: Does information help recovering structural shocks from past observations? (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2006632

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