Parameter uncertainty and impulse response analysis

被引：37

作者：

Koop, G

机构：

[1] Department of Economics, University of Toronto, Toronto

来源：

JOURNAL OF ECONOMETRICS | 1996年 / 72卷 / 1-2期

关键词：

Bayesian; impulse response function; threshold autoregressive models;

D O I：

10.1016/0304-4076(94)01717-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The effect of parameter uncertainty on impulse response analysis is investigated in nonlinear models. Various impulse response functions which differ in their treatment of parameter uncertainly are defined and applied in a threshold autoregressive model of real US GDP.

引用

页码：135 / 149

页数：15

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