One of the main topics of macroeconomics analysis is to assess the causes and transmission of business cycles. In order to address this issue, macroeconomists have analysed the response of output to different types of shocks. However, since a shock is by definition an unobserved variable, there is no consensus in the literature about how to properly identify a shock. In this paper we present a framework for identification of shocks that builds on the statistical definition of a shock and imposes as little a priori restrictions as possible on the structure of the system.
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Paper provided by European University Institute in its series Economics Working Papers with number
eco96/32.
Length: 26 pages Date of creation: 1996 Date of revision: Handle: RePEc:eui:euiwps:eco96/32
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Find related papers by JEL classification: C68 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computable General Equilibrium Models E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics