Can measurement error influence the behaviour of state variables

Dear Johannes,
Thank you very much for your help last time, I am grateful.
I have a stock index growth shock as measurement error in my measurement equation of stock price growth rate and it is treated as one of structural shocks, I wold like to know that does measurement error have economic interpretation in the state equation? I mean can measurement error from measurement equation influence the behaviour of state variables?
Thank you.
PhD Candidate

No, a properly introduced measurement error only affects the measured variable when you compute IRFs, but not any other variable in the model. However, it will affect all parameter estimates during estimation.