Nonlinear impulse response functions

Simon Potter

No 65, Staff Reports from Federal Reserve Bank of New York

Abstract: 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.

Keywords: time; series; analysis (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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Journal Article: Nonlinear impulse response functions (2000)
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