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Beaudry, Paul
, Fève, Patrick, Guay, Alain and Portier, Franck
(2019)
When is Nonfundamentalness in SVARs A Real Problem?
Review of Economic Dynamics, vol. 34.
pp. 221-243.
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Abstract
In SVARs, identification of structural shocks can be subject to nonfundamentalness, as the econometrician may have an information set smaller than the economic agents’ one. How serious is that problem from a quantitative point of view? In this paper we propose a simple diagnostic for the quantitative importance of nonfundamentalness in structural VARs. The diagnostic is of interest as nonfundamentalness is not an either/or question, and its quantitative implications can be more or less severe. As an illustration, we apply our diagnostic to the identification of TFP news shocks and we find that nonfundamentalness is of little quantitatively importance in that context.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | October 2019 |
| Refereed: | Yes |
| Uncontrolled Keywords: | NonFundamentalness, Business Cycles, SVARs, News Shocks |
| JEL Classification: | C32 - Time-Series Models E32 - Business Fluctuations; Cycles |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 16 Apr 2020 09:32 |
| Last Modified: | 12 Sep 2022 14:15 |
| OAI Identifier: | oai:tse-fr.eu:122898 |
| URI: | https://publications.ut-capitole.fr/id/eprint/32295 |
Available Versions of this Item
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When is Nonfundamentalness in SVARs A Real Problem? (deposited 29 Nov 2016 10:10)
- When is Nonfundamentalness in SVARs A Real Problem? (deposited 16 Apr 2020 09:32) [Currently Displayed]
