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Nonparametric Estimation of Generalized Impulse Response Function

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Author Info
R. Tschernig
L. Yang

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2000-89.

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Handle: RePEc:wop:humbsf:2000-89

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  1. W. H"Ardle & A. Tsybakov & L. Yang, . "Nonparametric Vector Autoregression," Sonderforschungsbereich 373 1996-61, Humboldt Universitaet Berlin.
  2. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July. [Downloadable!] (restricted)
  3. R. Tschernig & L. Yang, . "Nonparametric Lag Selection for Time Series," Sonderforschungsbereich 373 1997-59, Humboldt Universitaet Berlin.
  4. L. Yang & R. Tschernig, 1999. "Multivariate bandwidth selection for local linear regression," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 793-815. [Downloadable!] (restricted)
  5. W. H"Ardle & H. L"Utkepohl & R. Chen, . "A Review of Nonparametric Time Series Analysis," Sonderforschungsbereich 373 1996-48, Humboldt Universitaet Berlin.
  6. Rong Chen & Lijian Yang & Christian Hafner, 2004. "Nonparametric multistep-ahead prediction in time series analysis," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 669-686. [Downloadable!] (restricted)
  7. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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