Does Information Help Recovering Structural Shocks from Past Observations?
20 Pages Posted: 9 Jun 2006
Date Written: May 2006
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".
Keywords: Identification, Information, Invertibility, Structural VAR
JEL Classification: C32, C33, E00, E32, O3
Suggested Citation: Suggested Citation