Date and Time: November 29th, 2018, 10:00 am - 11:30 am
Room: A 101 in the Economics Building (Museum)
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. Aggregation create problems. Appropriate theoretical restrictions may be insufficient to obtain the structural disturbances and the dynamics they produce. Identified shocks do not necessarily combine structural disturbancees of the same type. Instead, they are linear combinations of current and past values of all structural disturbances. The theory used to interpret the data and the disturbances if features determines, whether an empirical model is too small or not. An example highlights the magnitude of the distortions the steps needed to reduce them. We revisit Iacoviello 's evidence regarding the transmission of house price shocks.
About the speaker
Fabio Canova is Professor of Economics at the Norwegian Business School and Honorary Professor of Henan University. His research areas are quantitative macroeconomics, monetary economics, time series econometrics and forecasting, international business cycles, and growth policies.