Does Information Help Recovering Structural Shocks from Past Observations?

15 Pages Posted: 17 Aug 2006

See all articles by Lucrezia Reichlin

Lucrezia Reichlin

London Business School; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Centre for Economic Policy Research (CEPR); European Central Bank (ECB)

Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: June 2006

Abstract

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

Reichlin, Lucrezia and Giannone, Domenico, Does Information Help Recovering Structural Shocks from Past Observations? (June 2006). CEPR Discussion Paper No. 5725. Available at SSRN: https://ssrn.com/abstract=924890

Lucrezia Reichlin (Contact Author)

London Business School ( email )

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Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

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Centre for Economic Policy Research (CEPR)

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European Central Bank (ECB) ( email )

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Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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