Browsing BI Open by Author "Sahneh, Mehdi Hamidi"
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Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness
Canova, Fabio; Sahneh, Mehdi Hamidi (CAMP Working Paper Series;2/2016, Working paper, 2016)Non-fundamentalness arises when observables do not contain enough information to recover the vector of structural shocks. Using Granger causality tests, the literature suggested that many small scale VAR models are ...