A shock of interest can be recovered, either exactly or with a good approximation, by means of standard VAR techniques even when the structural MA representation is non- invertible. We propose a measure of how informative a VAR model is for a specific shock of interest. We show how to use such a measure for the validation of shocks' transmission mechanism of DSGE models through VARs. In an application, we validate a theory of news shocks. The theory does fairly well for all variables, but understates the long-run effects of technology news on TFP.

VAR Information and the Empirical Validation of DSGE Models / Forni, Mario; Gambetti, Luca; Sala, Luca. - (2016), pp. 1-43.

VAR Information and the Empirical Validation of DSGE Models

Mario Forni;Luca Gambetti;
2016

Abstract

A shock of interest can be recovered, either exactly or with a good approximation, by means of standard VAR techniques even when the structural MA representation is non- invertible. We propose a measure of how informative a VAR model is for a specific shock of interest. We show how to use such a measure for the validation of shocks' transmission mechanism of DSGE models through VARs. In an application, we validate a theory of news shocks. The theory does fairly well for all variables, but understates the long-run effects of technology news on TFP.
2016
1
43
VAR Information and the Empirical Validation of DSGE Models / Forni, Mario; Gambetti, Luca; Sala, Luca. - (2016), pp. 1-43.
Forni, Mario; Gambetti, Luca; Sala, Luca
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1156592
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