Authors
Citation
Sm. Potter, Nonlinear impulse response functions, J ECON DYN, 24(10), 2000, pp. 1425-1446
Citations number
12
Categorie Soggetti
Economics
Journal title
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
ISSN journal
01651889
→ ACNP
Volume
24
Issue
10
Year of publication
2000
Pages
1425 - 1446
Database
ISI
SICI code
0165-1889(200009)24:10<1425:NIRF>2.0.ZU;2-A
Abstract
The standard linear technique of impulse response function analysis is exte
nded to the nonlinear case by defining a generalized impulse response funct
ion. Measures of persistence and asymmetry in response are constructed for
a wide class of time series. (C) 2000 Elsevier Science B.V. All rights rese
rved. JEL classification. C22; C51; C52; E32.