Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine
correlations. In a second step, we apply the definition of the impulse response function in nonlinear models of Koop, Pesaran and … horizon, we estimate the density of the impulse response function with non parametric kernel estimator. These densities show … random shocks and histories. In a second step, we estimate these impulse response function with the observed history for …
