Mind the Gap! Stylized Dynamic Facts and Structural Models
研究了当数据生成过程有多个扰动但实证模型只使用部分变量时，识别出的冲击和动态响应会如何变化，并重新审视房价和不确定性冲击的传导证据。
We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q 1 < q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Theory-based restrictions may be insufficient to obtain structural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to compare the dynamics of larger scale DSGEs models with smaller scale VARs.