This paper analyzes the dynamics of nonlinear multivariate time series models that is represented by generalized impulse response functions and asymmetric functions. We illustrate the measures of shock persistences an...This paper analyzes the dynamics of nonlinear multivariate time series models that is represented by generalized impulse response functions and asymmetric functions. We illustrate the measures of shock persistences and asymmetric effects of shocks derived from the generalized impulse response functions and asymmetric function in bivariate smooth transition regression models. The empirical work investigates a bivariate smooth transition model of US GDP and the unemployment rate.展开更多
文摘This paper analyzes the dynamics of nonlinear multivariate time series models that is represented by generalized impulse response functions and asymmetric functions. We illustrate the measures of shock persistences and asymmetric effects of shocks derived from the generalized impulse response functions and asymmetric function in bivariate smooth transition regression models. The empirical work investigates a bivariate smooth transition model of US GDP and the unemployment rate.
