Asymmetric generalized impulse responses and variance decompositions with an application

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.

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Year of publication:	2011
Authors:	Hatemi-J, Abdulnasser
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	VAR modelling \| Asymmetric Impulses \| Fiscal Policy

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; H21 - Efficiency; Optimal Taxation ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009147589