Does Information Help Recovering Structural Shocks From Past Observations?

Reichlin, L., Giannone, D.
Date Published: 01/04/2006

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.

Citation:
Reichlin, L., Giannone, D., "Does information help recovering structural shocks from past observations?’’, Journal of the European Economic Association, Special Proceedings, Volume 4, No. 2-3, April-May 2006, pp. 455-465

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