Nonlinear Impulse Response Functions

24 Pages Posted: 21 Jul 1999

See all articles by Simon Potter

Simon Potter

Peter G. Peterson Institute for International Economics

Date Written: December 1998

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: nonlinear, impulse response function, persistence, generalized impulse response function

JEL Classification: C22, C51, C52, E32

Suggested Citation

Potter, Simon, Nonlinear Impulse Response Functions (December 1998). FRB of New York Staff Report No. 65, Available at SSRN: https://ssrn.com/abstract=163169 or http://dx.doi.org/10.2139/ssrn.163169

Simon Potter (Contact Author)

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
347
Abstract Views
1,982
rank
95,717
PlumX Metrics