New evidence on the robust identification of news shocks: Role of revisions in utilization‐adjusted TFP series and term structure data
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Forecasting"
DOI: 10.1002/for.2507
Abstract: Data revisions and selections of appropriate forwarding†looking variables have a major impact on true identification of news shocks and quality of research findings derived from structural vector autoregression (SVAR) estimation. This paper revisits news… read more here.
Keywords: news shocks; news; identification news; term structure ... See more keywords