Nonlinear Innovations and Impulse Response
This paper introduces a concept of innovation for the analysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of such innovations. The residuals from nonlinear dynamic models axe used to construct various specification tests. We define and study nonlinear impulse response functions to transitory and permanent shocks.
(This abstract was borrowed from another version of this item.)
|Date of creation:||1999|
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