全球智库信息集成服务系统(G2TT): When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w21466
来源ID	Working Paper 21466
	When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks
	Paul Beaudry; Patrick Fève; Alain Guay; Franck Portier
发表日期	2015-08-17
出版年	2015
语种	英语
摘要	When the VAR representation of a times series has a non-fundamental representation, standard SVAR techniques cannot be used to exactly identify the effects of structural shocks. This problem is know to potentially arise when one of the structural shocks represents news about the future. However, as we shall show, in many case the non-fundamental representation of a time series may be very close to its fundamental representation implying that standard SVAR techniques may provide a very good approximation of the effects of structural shocks even when the non-fundamentalness is formally present. This leads to the question: When is non-fundamentalness a real problem? In this paper we derive and illustrate a diagnostic based on a $R^2$ which provides a simple means of detecting whether non-fundamentalness is likely to be a quantitatively important problem in an applied settings. We use the identification of technological news shocks in US data as our running example.
主题	Macroeconomics ; Business Cycles
URL	https://www.nber.org/papers/w21466
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/579141
推荐引用方式 GB/T 7714	Paul Beaudry,Patrick Fève,Alain Guay,et al. When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks. 2015.