News, Non-Invertibility, and Structural VARs

DOI10.1108/S0731-9053(2012)0000028006zbMath1452.91192OpenAlexW238019691MaRDI QIDQ5133561

Eric R. Sims

Publication date: 10 November 2020

Published in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2012)0000028006

zbMATH Keywords

factor modelsstructural VARnews shocksnon-invertibilitynon-fundamentalness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Related Items (5)

Measuring nonfundamentalness for structural VARs ⋮ What can we learn about news shocks from the late 1990s and early 2000s boom-bust period? ⋮ Local projections, autocorrelation, and efficiency ⋮ Bayesian inference on structural impulse response functions ⋮ Fiscal news and macroeconomic volatility

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