Impulse Response Functions for Self-Exciting Nonlinear Models
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- Neville Francis & Michael T. Owyang & Daniel Soques, 2023. "Impulse Response Functions for Self-Exciting Nonlinear Models," Working Papers 2023-021, Federal Reserve Bank of St. Louis, revised 29 Aug 2023.
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Cited by:
- De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
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JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
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This paper has been announced in the following NEP Reports:- NEP-GER-2023-10-16 (German Papers)
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