Measuring nonfundamentalness for structural VARs

DOI10.1016/J.JEDC.2016.08.001zbMath1401.91500OpenAlexW2264556363MaRDI QIDQ1656410

Stefano Soccorsi

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/89092/1/Soccorsi_2016_1_.pdf

zbMATH Keywords

DSGEnews shocksSVARnonfundamentalness

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks

Cites Work

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• Are spectral estimators useful for long-run restrictions in SVARs?
• VAR analysis, nonfundamental representations, Blaschke matrices
• A check for finite order VAR representations of DSGE models
• NONCAUSAL VECTOR AUTOREGRESSION
• Fiscal Foresight and Information Flows
• Noncausal Autoregressions for Economic Time Series
• News, Non-Invertibility, and Structural VARs

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