Parameter uncertainty and impulse response analysis

DOI10.1016/0304-4076(94)01717-4zbMath0843.62088OpenAlexW2069953209MaRDI QIDQ1915467

Gary Koop

Publication date: 14 August 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01717-4

zbMATH Keywords

nonlinear modelsparameter uncertaintythreshold autoregressive modelimpulse response analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (8)

Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies ⋮ Deterministic impulse response in a nonlinear model. An analytical expression ⋮ Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model ⋮ On the evolution of the monetary policy transmission mechanism ⋮ Absorption of shocks in nonlinear autoregressive models ⋮ Nonlinear impulse response functions ⋮ Frequency domain inference for univariate impulse responses ⋮ Joint Bayesian inference about impulse responses in VAR models

Cites Work

• Threshold models in non-linear time series analysis
• On the ergodicity of \(TAR(1)\) processes
• A threshold AR(1) model
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
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