Sequential identification of technological news shocks


Seymen, Atilim


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URL: https://ub-madoc.bib.uni-mannheim.de/35365
URN: urn:nbn:de:bsz:180-madoc-353658
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: ZEW Discussion Papers
Volume: 13-111
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: E32 , C32,
Keywords (English): News shocks , identification , structural vector autoregressive model
Abstract: In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR framework measures the extent to which news incorporated into forward-looking variables could reflect future technological developments. While structural VARs can potentially provide a useful guide for modelers as well as policy-makers, the ability of such models to recuperate structural shocks in general and news shocks in particular from the data is a contentious issue in the literature. In the current paper, I find by means of Monte Carlo simulations that the sequential approach can be quite successful in recuperating technological news shocks from artificial data.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Seymen, Atilim (2013) Sequential identification of technological news shocks. Open Access ZEW Discussion Papers Mannheim 13-111 [Working paper]
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