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Impulse-Response Analysis in Econometrics

Author

Listed:
  • Bruneau, C.

Abstract

We focus on the concept of impulse in econometrics analysis of time series. We recognize two useful characterizations, which are respectively deterministic and stochastic.

Suggested Citation

  • Bruneau, C., 1996. "Impulse-Response Analysis in Econometrics," Papers 9613, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  • Handle: RePEc:fth:pnegmi:9613
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    Cited by:

    1. Catherine Bruneau & Ch. Duval-Kieffer & J. P. Nicolai, 2000. "Managing funds in the US market: how to distinguish between transitory distortions and structural changes in the stock prices?," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 146-162.

    More about this item

    Keywords

    TIME SERIES; ECONOMETRICS;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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