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January/February 2004, 
Vol. 86, No. 1
Posted 2004-01-01

The Efficient Market Hypothesis and Identification in Structural VARs

by Lucio Sarno and Daniel L. Thornton

The EMH and the SVAR. The authors add to the literature on structural vector autoregression models by showing that, if it includes one or more variables efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied.