Difference between shocks, innovations and disturbances
In Greene "Econometric Analysis" the disturbance of linear regression,
$$\epsilon_t = y_t - \mathbf{x_t}\boldsymbol{\beta}$$

is estimated with the residual,
$$e_t = y_t - \mathbf{x_t b}$$

In the text, disturbances $\epsilon_t$ are also called innovations. Qualitative events in an economy that impact a process or model's variables or error term are shocks.