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Nonlinear impulse response functions

Author

Listed:
  • Simon M. Potter
Abstract
The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series.

Suggested Citation

  • Simon M. Potter, 1999. "Nonlinear impulse response functions," Staff Reports 65, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:65
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    References listed on IDEAS

    as
    1. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
    2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    3. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July.
    4. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
    5. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    6. Chauvet, Marcelle & Potter, Simon, 2001. "Nonlinear Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 621-646, September.
    7. Koop, Gary, 1996. "Parameter uncertainty and impulse response analysis," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 135-149.
    Full references (including those not matched with items on IDEAS)

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    time series analysis;

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