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I show that this practice can be seriously misleading when the variables used in the SVAR contain measurement errors. If this is the case, for generic values of the parameters of the DSGE, the shocks estimated in the SVAR are not \u201cmade of\u201d the corresponding structural shocks plus measurement error. Rather, each of the SVAR shocks is contaminated by noncorresponding structural shocks. We argue that High-Dimensional Dynamic Factor Models are free from this drawback and are the natural model to use in validation procedures for DSGEs.<\/jats:p>","DOI":"10.1017\/s0266466621000542","type":"journal-article","created":{"date-parts":[[2021,12,13]],"date-time":"2021-12-13T08:45:48Z","timestamp":1639385148000},"page":"1273-1291","source":"Crossref","is-referenced-by-count":7,"title":["VALIDATING DSGE MODELS WITH SVARS AND HIGH-DIMENSIONAL DYNAMIC FACTOR MODELS"],"prefix":"10.1017","volume":"39","author":[{"given":"Marco","family":"Lippi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2021,12,13]]},"reference":[{"key":"S0266466621000542_r22","volume-title":"The Statistical Theory of Linear Systems","author":"Hannan","year":"1988"},{"key":"S0266466621000542_r23","first-page":"77","volume-title":"Rational Expectations Econometrics","author":"Hansen","year":"1991"},{"key":"S0266466621000542_r17","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466601176048"},{"key":"S0266466621000542_r30","doi-asserted-by":"publisher","DOI":"10.1017\/S136510050605019X"},{"key":"S0266466621000542_r13","unstructured":"Forni, M. , Gambetti, L. , Lippi, M. , and Sala, L. 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