Hatemi-J, Abdulnasser (2011): Asymmetric generalized impulse responses and variance decompositions with an application.
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This paper introduces asymmetric impulse response functions and asymmetric variance decompositions. It is shown how the underlying variables can be transformed into cumulative positive and negative changes in order to estimate the impulses to an asymmetric innovation. An application is provided to demonstrate how the propagation mechanism of these asymmetric impulses and responses operates.
|Item Type:||MPRA Paper|
|Original Title:||Asymmetric generalized impulse responses and variance decompositions with an application|
|Keywords:||VAR modelling, Asymmetric Impulses, Fiscal Policy|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
H - Public Economics > H2 - Taxation, Subsidies, and Revenue > H21 - Efficiency; Optimal Taxation
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
|Depositing User:||Abdulnasser Hatemi-J|
|Date Deposited:||19. Jun 2011 17:08|
|Last Modified:||15. Feb 2013 22:25|
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