Impulse response analysis in nonlinear multivariate models

DOI10.1016/0304-4076(95)01753-4zbMath0865.62086OpenAlexW1969610664MaRDI QIDQ1126497

Gary Koop, Simon M. Potter, M. Hashem Pesaran

Publication date: 14 July 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01753-4

zbMATH Keywords

persistence nonlinear models linear models threshold autoregressive models unemployment rate unified approach impulse response analysis multivariate models asymmetric effects of shocks generalized impulse response function measures of shock persistence nonlinear vector autoregressions US output

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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