Deterministic impulse response in a nonlinear model. An analytical expression

DOI10.1016/j.econlet.2006.10.007zbMath1255.62323OpenAlexW2056835578MaRDI QIDQ1934061

Ioannis A. Venetis, David A. Peel, Ivan Paya

Publication date: 28 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.10.007

zbMATH Keywords

Lambert W-functionESTAR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) General nonlinear regression (62J02)

Related Items

Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach

Cites Work

• Unnamed Item
• Impulse response analysis in nonlinear multivariate models
• Nonlinear impulse response functions
• On the Lambert \(w\) function
• Parameter uncertainty and impulse response analysis
• Nonlinear Dynamic Structures
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS