Does information help recovering fundamental structural shocks from past observations?

Domenico Giannone and Lucrezia Reichlin
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Domenico Giannone: Universite' Libre de Bruxelles, ECARES

Macroeconomics from University Library of Munich, Germany

Abstract: This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are fundamental? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the firrst question is 'yes' and that to the second is 'under some conditions'.

JEL-codes: C32 C33 E00 E32 O3 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2005-11-15
New Economics Papers: this item is included in nep-mac
Note: Type of Document - pdf; pages: 12
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0511017

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