Analyzing the Dynamics of Nonlinear Multivariate Time Series Models |
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作者姓名: | DenghuaZhong ZhengfengZhang DonghaiLiu StefanMittnik |
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作者单位: | [1]SchoolofCivilEngineering,TianjinUniversity,Tianjin300072,China [2]InstituteofStatisticsandEconometrics,UniversityofKiel,Olshausenstr.40,D-24098Kiel,Germany |
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摘 要: | 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.
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关 键 词: | 动力学 非线性多变量时间连续模型 广义脉冲响应函数 不对称函数 |
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