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Impulse response analysis in nonlinear multivariate models

  • Koop, Gary
  • Pesaran, M. Hashem
  • Potter, Simon M.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3XDS2R2-6/2/f8b1713c81765453e1a5e9a52593b52e
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Pages: 119-147

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Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:119-147
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Pesaran, M.H. & Pierse, R.G. & Lee, K.C., 1990. "Persistence, Cointegration And Aggregation: A Disaggregated Analysis Of Output Fluctuations In The U.S. Economy," Papers 25, California Los Angeles - Applied Econometrics.
  2. Pesaran, M.H. & Shin, Y., 1993. "Cointegration and Speed of Convergence to Equilibrium," Cambridge Working Papers in Economics 9311, Faculty of Economics, University of Cambridge.
  3. Lee, Kevin C. & Pesaran, M. Hashem, 1993. "Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth," Ricerche Economiche, Elsevier, vol. 47(3), pages 293-322, September.
  4. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
  5. John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
  6. Frank, Murray Z & Stengos, Thanasis, 1988. " Chaotic Dynamics in Economic Time-Series," Journal of Economic Surveys, Wiley Blackwell, vol. 2(2), pages 103-33.
  7. Clark, Peter K, 1987. "The Cyclical Component of U.S. Economic Activity," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 797-814, November.
  8. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
  9. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  10. Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.
  11. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
  12. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
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