Nonlinear Impulse Response Functions

By S. Potter. 2000

211 citations recorded by the source corpus.

Subfields: Analytical Chemistry, Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ce38311f0dd82b2e39d830d76306d3b0ea09b5c1

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In Analytical Chemistry

In Economics and Econometrics

In Statistics and Probability

Citations in the corpus

Risk Price Dynamics (2009, unknown): “Koop et al. (1996) and Potter (2000) examine four definitions used with linear series and assess the merits of the nonlinear analogue of each.”
THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS (2011, background): “…SY M M ETR IC EFFEC TS O F O IL PR IC E SH O C K S 453 454 SAJJADUR RAHMAN AND APOSTOLOS SERLETIS impulse-response functions depend on the sign and size of the shock as well as the history of the system (i.e., expansionary or contractionary) before the shock hits—see, for example, Potter (2000).”
Nonlinear Time Series Analysis (2005, background): “Koop, Pesaran and Potter (1996) note that the impulse response functions, E1⁄2xtþnjxt ; vt E1⁄2xtþnjxt will depend upon the size and sign of vt as well as the current state xt .”
The Impact of Fiscal Policy on Economic Activity Over the Business Cycle - Evidence from a Threshold VAR Analysis (2011, methodology): “21GIRF were applied in several empirical applications, for example in Balke (2000), Atanasova (2003), Root and Lien (2003), Jääskelä (2007) A detailed description of GIRF for the univariate case can also be found in Potter (2000).”
Regime-switching debt and taxation (2004, methodology): “Policy experiments fall under nonlinear impulse response analysis, described in Gallant, Rossi and Tauchen (1993) and Potter (2000), where a conditional moment profile of a series is compared to some baseline profile.”
Fiscal developments and financial stress: a threshold VAR analysis (2017, unknown): “However, these convenient properties do not hold within the class of nonlinear models as shown by Potter (2000) and Koop et al. (1996).”
X-ray reverberation around accreting black holes (2014, background): “Non-linear impulse response functions may be investigated as an approach to modelling this behaviour: they have already been explored in the time-series and signal processing literature in other fields (e.g. see Potter 2000) and these approaches could be adopted for X-ray spectral-timing analysis.”