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Mario Forni
;
Luca Gambetti
;
Luca Sala

structural vars and noninvertible macroeconomic models (replication data)

We resume the line of research pioneered by C. A. Sims and Zha (Macroeconomic Dynamics, 2006, 10, 231-272) and make two novel contributions. First, we provide a formal treatment of partial fundamentalness-that is, the idea that a structural vector autoregression (VAR) can recover, either exactly or with good approximation, a single shock or a subset of shocks, even when the underlying model is nonfundamental. In particular, we extend the measure of partial fundamentalness proposed by Sims and Zha to the finite-order case and study the implications of partial fundamentalness for impulse-response and variance-decomposition analysis. Second, we present an application where we validate a theory of news shocks and find it to be in line with the empirical evidence.

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Suggested Citation

Forni, Mario; Gambetti, Luca; Sala, Luca (2019): Structural VARs and noninvertible macroeconomic models (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022327.0707252345