Agenda marzo 2018

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giovedì 1
dalle 17:00 alle 20:00

Welcome conference Esn Nase Udine

venerdì 9
dalle 12:00 alle 19:30

Giornata Italo-Argentina-Cilena

lunedì 12
ore 16:30

To vax or not to vax

venerdì 16
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.

Quando

  • 16/03/2018 ore 10:30

Organizzato da

Dipartimento di Scienze economiche e statistiche

Contatti

Luca Grassetti, Università di Udine
email: luca.grassetti@uniud.it

Dove

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

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mercoledì 21
ore 18:00

Tajus - Aperitivi con il giurista

giovedì 22
dalle 09:30 alle 12:00

Giornata mondiale dell'acqua 2018

venerdì 23
dalle 11:00 alle 14:00

Punto Impresa

lunedì 26
dalle 12:00 alle 14:00

Author seminar