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Does information help recovering structural shocks from past observations?

par Giannone, Domenico ;Reichlin, Lucrezia
Référence Journal of the European Economic Association, 4, 2-3, page (455-465)
Publication Publié, 2006-04

Article révisé par les pairs

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Résumé :

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.