Impulse response analysis for structural dynamic models with nonlinear regressors

DOI10.1016/J.JECONOM.2021.06.009OpenAlexW3039819823MaRDI QIDQ2236885

Elena Pesavento, Lutz Kilian, Ana María Herrera, Sílvia Gonçalves

Publication date: 26 October 2021

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

Full work available at URL: https://www.dallasfed.org/-/media/documents/research/papers/2020/wp2019.pdf

zbMATH Keywords

Monte Carlo integrationnonlinear transformationpartial identificationcontrol functionstructural modellocal projectionnonlinear responsesblock recursive modelcensored regressor

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Impulse response analysis in nonlinear multivariate models
• Nonlinear impulse response functions
• Asymmetric effects of exogenous tax changes
• The effects of oil price shocks on job reallocation
• What is an oil shock?
• Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
• Nonlinear Dynamic Structures
• Structural Vector Autoregressive Analysis
• Local Projections and VARs Estimate the Same Impulse Responses

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