Does information help recovering structural shocks from past observations?

Domenico Giannone and Lucrezia Reichlin

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

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.". © 2006 by the European Economic Association.

Date: 2006-04
Note: SCOPUS: cp.j
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Published in: Journal of the European Economic Association (2006) v.4 n° 2-3,p.455-465

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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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