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venerdì 16 marzo
dalle 9:00 alle 12:30

Uniud partecipa a "YOUNG, Future for You"

venerdì 16 marzo
dalle 9:30 alle 11:30

Incontro di Orientamento presso l'I.S.I.S. Bassa Friulana

venerdì 16 marzo
ore 10:30

Asymmetric impulse responses

The empirical analysis of dynamic macroeconomic models is typically based on Structural Vector Autoregressions (SVAR). An important limitation of such linear models is that a positive and negative shocks possess a similar effect on the variables of interest but with a different sign. In this paper we propose a nonlinear framework for modelling asymmetric impulse responses. Specifically we assume that the state of the moving average representation of the time series vector depends on the sign of the (unobserved) structural shock. We develop a maximum likelihood estimator for estimating the state-dependent SVAR model and a simple Lagrange Multiplier (LM) test for asymmetric impulse responses is proposed. The methodology is illustrated by studying asymmetric responses of GDP to government expenditure shocks in the U.S.
Relatore: Joerg Breitung, Università di Colonia.


  • 16 marzo, ore 10:30

Organizzato da

Dipartimento di Scienze economiche e statistiche


Luca Grassetti, Università di Udine


Sala riunioni DIES Kersevan, Università di Udine
via Tomadini 30/a, Udine