Does Information Help Recovering Structural Shocks from Past Observations?
15 Pages Posted: 17 Aug 2006
Date Written: June 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 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'.
Keywords: Identification, information, invertibility, structural VAR
JEL Classification: C32, C33, E00, E32, O3
Suggested Citation: Suggested Citation