Nonlinear innovations and impulse responses

This paper introduces a concept of innovation for the analysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of such innovations. The residuals from nonlinear dynamic models axe used to construct various specification tests. We define and study nonlinear impulse response functions to transitory and permanent shocks.

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Year of publication:	1999
Authors:	Gourieroux, Christian ; Jasiak, Joanna
Institutions:	Centre pour la Recherche Économique et ses Applications (CEPREMAP)

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Extent:	application/postscript application/pdf
Series:	CEPREMAP Working Papers (Couverture Orange).
Type of publication:	Book / Working Paper
Language:	English
Notes:	37 pages
Classification:	C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005176529