文章基本信息

标题：Does information help recovering structural shocks from past observations?
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作者：Domenico Giannone ; Lucrezia Reichlin
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：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”.
关键词：Identification; Information; Invertibility; Structural VAR.