PARAMETER UNCERTAINTY AND IMPULSE-RESPONSE ANALYSIS

Authors
KOOP G
Citation
G. Koop, PARAMETER UNCERTAINTY AND IMPULSE-RESPONSE ANALYSIS, Journal of econometrics, 72(1-2), 1996, pp. 135-149
Citations number
14
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
72
Issue
1-2
Year of publication
1996
Pages
135 - 149
Database
ISI
SICI code
0304-4076(1996)72:1-2<135:PUAIA>2.0.ZU;2-E
Abstract
The effect of parameter uncertainty on impulse response analysis is in vestigated in nonlinear models. Various impulse response functions whi ch differ in their treatment of parameter uncertainly are defined and applied in a threshold autoregressive model of real US GDP.