Estimating impulse-response functions for macroeconomic models using directional quantiles

DOI10.1515/jtse-2021-0002MaRDI QIDQ2151747

Gabriel V. Montes-Rojas

Publication date: 5 July 2022

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jtse-2021-0002

zbMATH Keywords

pass-through; multivariate quantiles; vector autoregressive models; impulse-response functions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

Uses Software

• CAViaR
• quantilogram

Cites Work

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