DP5725 | Does Information Help Recovering Structural Shocks from Past Observations?

Publication Date

16/06/2006

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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'.