Staff Reports

Nonlinear Impulse Response Functions

February 1999Number 65
JEL classification: C22, C51, C52, E32

Author: Simon M. Potter

The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series.

Available only in PDFPDF24 pages / 515 kb

For a published version of this report, see Simon M. Potter, "Nonlinear Impulse Response Functions," Journal of Economic Dynamics and Control 24, no. 10 (September 2000): 1425-46.