Nonlinear innovations and impulse responses

Christian S. Gourieroux and Joann Jasiak

CEPREMAP Working Papers (Couverture Orange) from CEPREMAP

Abstract: 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.

JEL-codes: C5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-tid
Date: 1999
View list of references View citations in EconPapers

Downloads: (external link)
http://www.cepremap.cnrs.fr/couv_orange/co9906.ps (application/postscript)
http://www.cepremap.cnrs.fr/couv_orange/co9906.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cpm:cepmap:9906

Access Statistics for this paper

More papers in CEPREMAP Working Papers (Couverture Orange) from CEPREMAP
Series data maintained by Michel Juillard ().