Parameter uncertainty and impulse response analysis

DOI10.1016/0304-4076(94)01717-4MaRDI QIDQ1915467zbMATH OpenOpenAlexFDO

Authors Gary Koop

Publication date 14 August 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01717-4

zbMATH Keywords

impulse response analysisnonlinear modelsparameter uncertaintythreshold autoregressive model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• scientific article; zbMATH DE number 1051726
• Nonlinear impulse response functions
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Cites work

• A threshold AR(1) model
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• On the ergodicity of \(TAR(1)\) processes
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Threshold models in non-linear time series analysis

Cited in

(10)

• Absorption of shocks in nonlinear autoregressive models
• Impulse response analysis in nonlinear multivariate models
• Frequency domain inference for univariate impulse responses
• Nonlinear impulse response functions
• Deterministic impulse response in a nonlinear model. An analytical expression
• Joint Bayesian inference about impulse responses in VAR models
• On the evolution of the monetary policy transmission mechanism
• scientific article; zbMATH DE number 1051726 (Why is no real title available?)
• Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies
• Dividend suspensions and cash flows during the Covid-19 pandemic: a dynamic econometric model

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