Nonlinear impulse response functions
AbstractThe standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series.
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Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 65.
Date of creation: 1999
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- Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
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