Chapter

Nonlinear impulse responses

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0015

Series: Advanced Texts in Econometrics

Nonlinear impulse responses

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This short chapter presents an important tool in interpreting estimated nonlinear models: the generalized impulse response function which is a random variable and thus has a distribution. Representing these functions, that is, estimated densities, using so‐called highest density regions is considered. Examples of their use can be found in Chapter 16.

Keywords: generalized impulse response function; highest density region; impulse response function

Chapter.  2151 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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