Impulse response analysis in nonlinear multivariate models
Tài liệu tham khảo
Beaudry, 1993, Do recessions permanently affect output?, Journal of Monetary Economics, 31, 149, 10.1016/0304-3932(93)90042-E
Blanchard, 1989, The dynamic effect of aggregate demand and supply disturbances, American Economic Review, 79, 655
Campbell, 1987, Are output fluctuations transitory?, Quarterly Journal of Economics, 102, 875, 10.2307/1884285
Clark, 1987, The cyclical component of U.S. economic activity, Quarterly Journal of Economics, 102, 797, 10.2307/1884282
Cochrane, 1988, How big is the random walk component in GNP?, Journal of Political Economy, 96, 893, 10.1086/261569
Frank, 1988, Chaotic dynamics in economic time-series, Journal of Economic Surveys, 2, 103, 10.1111/j.1467-6419.1988.tb00039.x
Gallant, 1993, Nonlinear dynamic structures, Econometrica, 61, 871, 10.2307/2951766
Granger, 1993
Koop, 1994, Parameter uncertainty and impulse response analysis, Journal of Econometrics
Koop, 1994, Bayesian long-run prediction in time series models, Journal of Econometrics
Lee, 1993, Persistance profiles and business cycle fluctuations in a disaggregated model of UK output growth, Richerche Economiche, 47, 293, 10.1016/0035-5054(93)90032-X
Neftci, 1984, Are economic time series asymmetric over the business cycle, Journal of Political Economy, 93, 307, 10.1086/261226
Pesaran, 1994, A floor and ceiling model of U.S. output
Pesaran, 1995, Cointegration and speed of convergence to equilibrium, Journal of Econometrics
Pesaran, 1993, Persistence, cointegration and aggregation: A disaggregated analysis of output fluctuations in the US Economy, Journal of Econometrics, 56, 57, 10.1016/0304-4076(93)90101-A
Potter, 1995, A nonlinear approach to US GNP, Journal of Applied Econometrics, 10, 109, 10.1002/jae.3950100203
Potter, 1994, Nonlinear impulse response functions
Ripley, 1987
Tiao, 1994, Some advances in nonlinear and adaptive modeling in time series analysis, Journal of Forecasting, 13, 109, 10.1002/for.3980130206
Tong, 1990