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Comparing the impulse response functions of different models

Author

Listed:
  • Domenico MIGNACCA

    ([n.a.])

Abstract

The problem we want to solve in this paper is that of finding a statistical test that pennits us to compare the impulse response function (JRF) of a linear model with that of a nonlinear one. We achieve our goal starting with a simple case where the comparison is between two VAR models of different order. Next, we briefly extend the results to VARs of the same order but with a different structuralization. A Monte Carlo simulation is performed to evaluate power and size of the test. We then give some insights for comparing VAR with mulrivariate SETAR IRFs. Finally, we present an alternative procedure (a variation of the encompassing test) for comparing linear and complicated nonlinear IRFs.

Suggested Citation

  • Domenico MIGNACCA, 1995. "Comparing the impulse response functions of different models," Working Papers 59, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wpaper:59
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    File URL: http://docs.dises.univpm.it/web/quaderni/pdf/059.pdf
    File Function: First version, 1995
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    More about this item

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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