We introduce a simple nonparametric approach to compute impulse response functions. We first search for clusters of recurrent patterns of observations resembling two sets of given initial conditions, one of which contains the impact effect of the structural shock of interest. Then, to trace out...

We introduce a structural vector autoregressive (SVAR) model with each of the mutually independent errors following a skewed generalized t-distribution that is more flexible than a Student's t-distribution typically considered. Hence, the effect of potential distributional misspecification is...