Nonlinear impulse response functions

The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series.

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Year of publication:	1999
Authors:	Potter, Simon M.
Institutions:	Federal Reserve Bank of New York
Subject:	Time-series analysis

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Extent:	text/html application/pdf
Series:	Staff Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 65
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005420499