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Nonlinear Innovations and Impulse Response

Author

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  • Christian Gourieroux

    (Crest)

  • Joanna Jasiak

    (Crest)

Abstract

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.)

Suggested Citation

  • Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Innovations and Impulse Response," Working Papers 99-44, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:99-44
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    Citations

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    Cited by:

    1. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
    2. Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011. "Risk-Price Dynamics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 3-65, Winter.
      • Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
      • Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
      • Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
    3. Caroline Jardet & Alain Monfort & Fulvio Pegoraro, 2009. "New Information Response Functions," Working papers 235, Banque de France.
    4. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    5. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
    6. repec:hum:wpaper:sfb649dp2011-087 is not listed on IDEAS
    7. Lars Hansen & Jaroslav Borovicka, 2013. "Robust preference expansions," 2013 Meeting Papers 1199, Society for Economic Dynamics.
    8. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.
    9. Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000. "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(6), pages 689-714, December.
    10. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.

    More about this item

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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