eprintid: 10071934
rev_number: 24
eprint_status: archive
userid: 608
dir: disk0/10/07/19/34
datestamp: 2019-04-09 11:37:16
lastmod: 2021-11-25 23:30:52
status_changed: 2019-11-25 12:51:53
type: article
metadata_visibility: show
creators_name: Portier, F
creators_name: Beaudry, P
creators_name: Fève, P
creators_name: Guay, A
title: When is Nonfundamentalness in SVARs a Real Problem?
ispublished: pub
divisions: UCL
divisions: B03
divisions: C03
divisions: F24
keywords: NonFundamentalness, Business cycles, SVARs, News shocks
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
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.
date: 2019-10
date_type: published
publisher: Elsevier
official_url: https://doi.org/10.1016/j.red.2019.03.011
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 1645458
doi: 10.1016/j.red.2019.03.011
lyricists_name: Portier, Franck
lyricists_id: FPORT31
actors_name: Portier, Franck
actors_id: FPORT31
actors_role: owner
full_text_status: public
publication: Review of Economic Dynamics
volume: 34
pagerange: 221-243
citation:        Portier, F;    Beaudry, P;    Fève, P;    Guay, A;      (2019)    When is Nonfundamentalness in SVARs a Real Problem?                   Review of Economic Dynamics , 34    pp. 221-243.    10.1016/j.red.2019.03.011 <https://doi.org/10.1016/j.red.2019.03.011>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10071934/1/RED%20Preprint%20Version.pdf