Estimating impulse response functions when the shock series is observed
نویسندگان
چکیده
منابع مشابه
Nonlinear impulse response functions
The standard linear technique of impulse response function analysis is extended to the nonlinear case by de"ning a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C22; C51; C52; E32
متن کاملEstimating Production Functions When Productivity Change Is Endogenous∗
Production function estimation on micro data suffers from persistent unobserved shocks that vary within firms and cause bias. This paper presents an estimation model where the firm chooses capital investment and productivityrelevant intangible assets in response to market conditions under partly fixed adjustment costs. Estimation on Brazilian manufacturing firm data suggests that (i) firms’ uno...
متن کاملWhen is the ring of real measurable functions a hereditary ring?
Let $M(X, mathcal{A}, mu)$ be the ring of real-valued measurable functions on a measure space $(X, mathcal{A}, mu)$. In this paper, we characterize the maximal ideals in the rings of real measurable functions and as a consequence, we determine when $M(X, mathcal{A}, mu)$ is a hereditary ring.
متن کاملModeling impulse response using Empirical Orthogonal Functions
There is a growing need for acoustic channel simulators. Among the reasons for this is the increased interest in underwater acoustic communications, but also the fact that measuring the characteristics of the underwater channel is very expensive. A channel simulator provides access to realistic channels, and allows us to compare algorithms and modulations under identical conditions. Channel sim...
متن کاملNonparametric Estimation of Generalized Impulse Response Functions
We derive a local linear estimator of generalized impulse response (GIR) functions for nonlinear conditional heteroskedastic autoregressive processes and show its asymptotic normality. We suggest a plug-in bandwidth based on the derived asymptotically optimal bandwidth. A local linear estimator for the conditional variance function is proposed which has simpler bias than the standard estimator....
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2019
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2019.04.017