• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • View Item
  •   Home
  • Handelshøyskolen BI
  • BI Research Centre's Series
  • Centre for Applied Macro- and Petroleum economics (CAMP)
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Mind the gap! Stylized dynamic facts and structural models.

Canova, Fabio; Ferroni, Filippo
Working paper
Thumbnail
View/Open
2018_13_mindthegap.pdf (826.5Kb)
URI
http://hdl.handle.net/11250/2577654
Date
2018-12-11
Metadata
Show full item record
Collections
  • Centre for Applied Macro- and Petroleum economics (CAMP) [140]
Abstract
We study what happens to identified shocks and to dynamic responses when the structural model features q disturbances and m endogenous variables, q ≤ m, but only m1 < q variables are used in the empirical model. Identified shocks do not necessarily combine structural disturbances of the same type. Instead, they are linear combinations of current and past values of all structural disturbances. Appropriate theoretical restrictions may be insufficient to obtain structural dynamics. The theory used to interpret the data and the disturbances it features determine whether the empirical model is too small. An example shows the magnitude of the distortions and the steps needed to reduce them. We revisit Iacoviello [2005] ’s evidence regarding the transmission of house price shocks.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;13/2018

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit