Parameter uncertainty and impulse response analysis

Journal of Econometrics

Volumn 72, Issue 1-2, 1996, Pages 135-149

  Koop, Gary ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

Bayesian; Impulse response function; Threshold autoregressive models

Indexed keywords

EID: 0009090003     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01717-4     Document Type: Article

References (14)

1. Beaudry, P. and G. Koop, 1993, Do recessions permanently change output?. Journal of Monetary Economics 31, 149-164.
2. Chan, K. and H. Tong, 1985, On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations, Advances in Applied Probability 17, 667-678.
3. Chen, R. and R. Tsay, 1991, On the ergodicity of TAR(1) processes, Annals of Applied Probability 1, 613-634.
4. DeJong, D. and C. Whiteman, 1991, Are output fluctuations transitory? A Bayesian perspective, Manuscript.
5. Geweke, J. and N. Terui, 1993, Bayesian threshold autoregressive models for nonlinear time series, Journal of Time Series Analysis 14, 441-454.
6. Koop, G., J. Osiewalski, and M.F.J. Steel, 1994, Posterior properties of long-run impulse responses, Journal of Business and Economic Statistics 12, 489-492.
7. Koop, G., M.H. Pesaran, and S. Potter, 1993, Impulse response analysis in nonlinear multivariate models, Journal of Econometrics, forthcoming.
8. Pesaran, M.H. and S. Potter, 1994, A floor and ceiling model of U.S. output, Manuscript.
9. Petruccelli, J. and S. Woolford, 1984, A threshold AR(1) model, Journal of Applied Probability 21, 270-286.
10. Potter, S., 1993, A nonlinear approach to U.S. GNP, Journal of Applied Econometrics, forthcoming.
11. Sampson, M., 1991, The effect of parameter uncertainty on forecast variances and confidence intervals for unit root and trend-stationary time series. Journal of Applied Econometrics 6, 67-76.
12. Tong, H., 1983, Threshold models in non-linear time series analysis (Springer-Verlag, New York, NY).
13. Tong, H., 1990, Non-linear time series models: A dynamical system approach (Clarendon Press, Oxford).
14. Zellner, A., 1971, An introduction to Bayesian inference in econometrics (Wiley, New York, NY).