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When they do not, the estimates are used to bound the true response without directly addressing the identification challenge. A leading example of this practice is the literature on the effects of uncertainty shocks on economic activity. We prove by counterexample and show by simulation that this practice is invalid, whether the data generating process is a structural VAR model or a dynamic stochastic general equilibrium model. Simulation evidence suggests that the underlying identification challenge can be addressed using an instrumental variables estimator.<\/jats:p>","DOI":"10.1002\/jae.3113","type":"journal-article","created":{"date-parts":[[2025,2,7]],"date-time":"2025-02-07T04:14:41Z","timestamp":1738901681000},"page":"395-410","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":14,"title":["Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings"],"prefix":"10.1002","volume":"40","author":[{"given":"Lutz","family":"Kilian","sequence":"first","affiliation":[{"name":"Research Department Federal Reserve Bank of Dallas  Dallas Texas USA"},{"name":"CEPR"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michael D.","family":"Plante","sequence":"additional","affiliation":[{"name":"Research Department Federal Reserve Bank of Dallas  Dallas Texas USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alexander W.","family":"Richter","sequence":"additional","affiliation":[{"name":"Research Department Federal Reserve Bank of Dallas  Dallas Texas USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2025,2,6]]},"reference":[{"key":"e_1_2_9_2_1","unstructured":"Abecasis M.2023. \u201cThe Growth Drag From Tighter Lending Standards.\u201d Goldman Sachs U.S. Daily."},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","unstructured":"Ahir H. 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