Report
Nonlinear impulse response functions
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.
Keywords: time series analysis;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 1999
Number: 65