| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8209 |
| DP8209 Testing for Sufficient Information in Structural VARs | |
| Mario Forni; Luca Gambetti | |
| 发表日期 | 2011-01-17 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we show how to amend the VAR if informational sufficiency is rejected. We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked. We find that the three variables are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically. |
| 主题 | International Macroeconomics |
| 关键词 | Favar models Information Non-fundamentalness Structural var Technology shocks. |
| URL | https://cepr.org/publications/dp8209 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537045 |
| 推荐引用方式 GB/T 7714 | Mario Forni,Luca Gambetti. DP8209 Testing for Sufficient Information in Structural VARs. 2011. |
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