Nonlinear innovations and impulse responses

Christian 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)
Pages: 37 pages
Date: 1999
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-tid
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Nonlinear Innovations and Impulse Response (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:cpm:cepmap:9906

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