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Nonlinear impulse response functions
Potter, Simon M. (1999)
The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series.
Staff Reports , Paper 65

Discussion Paper
Temporal aggregation of ARCH processes and the distribution of asset returns
Diebold, Francis X. (1986)
Special Studies Papers , Paper 200

Working Paper
A Gibbs simulator for restricted VAR models
Zha, Tao; Waggoner, Daniel F. (2000)
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an SUR type, and thus our method can be implemented cheaply even for large systems of multiple equations.
FRB Atlanta Working Paper , Paper 2000-3

Working Paper
Evidence on structural instability in macroeconomic times series relations
Stock, James H.; Watson, Mark W. (1994)
Working Paper Series, Macroeconomic Issues , Paper 94-13

Discussion Paper
A time series model with periodic stochastic regime switching
Ghysels, Eric (1993)
A general class of Markov switching regime time series models is presented that allows one to estimate the nontrivial interdependencies between different types of cycles which make the economy grow at an unsteady rate. The paper further explores results obtained in Ghysels (1991b) suggesting that the economy transits from recessions to expansions with an uneven propensity throughout the year. It is also built on the work of Hamilton (1989) who proposed a stochastic switching-regime model for GNP and has important connections with hidden periodic structures discussed by Tiao and Grupe (1980) ...
Discussion Paper / Institute for Empirical Macroeconomics , Paper 84

Working Paper
The differential regional effects of monetary policy: evidence from the U.S. States
Carlino, Gerald A.; DeFina, Robert H. (1997)
This paper uses time-series techniques to examine whether monetary policy has similar effects across U.S. states during the 1958-92 period. Impulse response functions from estimated structural vector autoregression models reveal differences in state policy responses, which in some cases are substantial. The paper also provides evidence on the reasons for the measured cross-state differential policy responses. The size of a state's response is significantly related to its industry mix, evidence of an interest rate channel for monetary policy. The state-level data offer no support for recently ...
Working Papers , Paper 97-12

Journal Article
An analysis of recent studies of the effect of foreign exchange intervention
Neely, Christopher J. (2005-11)
Two recent strands of research have contributed to our understanding of the effects of foreign exchange intervention: (i) the use of high-frequency data and (ii) the use of event studies to evaluate the effects of intervention. This article surveys recent empirical studies of the effect of foreign exchange intervention and analyzes the implicit assumptions and limitations of such work. After explicitly detailing such drawbacks, the paper suggests ways to better investigate the effects of intervention.
Review , Volume 87 , Issue Nov

Working Paper
Exact maximum likelihood estimation of ARCH models
Diebold, Francis X.; Schuermann, Til (1993)
Working Papers , Paper 93-4

Working Paper
The Band pass filter
Fitzgerald, Terry J.; Christiano, Lawrence J. (1999)
The "ideal" band-pass filter can be used to isolate the component of a time series that lies within a particular band of frequencies, but applying this filter requires a data set of infinite length. In practice, some sort of approximation is needed. Using projections, the authors derive approximations that are optimal when the time-series representations underlying the raw data have a unit root, or are stationary about a trend.
Working Papers (Old Series) , Paper 9906

Journal Article
Modeling the time-series behavior of the aggregate wage rate
Trehan, Bharat; Huh, Chan Guk (1995)
This paper looks at the time-series behavior of the real wage relative to that of productivity. Given an exogenous, nonstationary process for productivity, we use a simple model of dynamic labor demand to show that the real wage and the marginal product of labor will be cointegrated if the representative firm chooses the profit-maximizing level of employment. Data for the postwar period satisfy this condition. On the basis of this result we estimate a vector error correction model containing prices, wages, and productivity and examine the dynamic relationships among these variables. This ...
Economic Review

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