When is Nonfundamentalness in VARs a Real Problem? An Application to News Shocks
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https://www.nber.org/papers/w21466
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2015-08-01
