Testing for sufficient information in structural VARs

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Title:	Testing for sufficient information in structural VARs
Author:	Forni, Mario; Gambetti, Luca; Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica; Institut d'Anàlisi Econòmica
Abstract:	We derive necessary and sufficient conditions under which a set of variables is informationally sufficient, i.e. it contains enough information to estimate the structural shocks with a VAR model. Based on such conditions, we suggest a procedure to test for informational sufficiency. Moreover, we show how to amend the VAR if informational sufficiency is rejected. We apply our procedure to a VAR including TFP, unemployment and per-capita hours worked. We find that the three variables are not informationally sufficient. When adding missing information, the effects of technology shocks change dramatically.
Subject(s):	-Risc, Valoració del
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Document type:	Working paper
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Uri:	https://ddd.uab.cat/record/71438