Keywords: Generalized impulse response functions
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Journal Articles
Journal of Economic Studies (2022) 49 (4): 623–646.
Published: 18 May 2021
... the Self-Exciting Interacted VAR (SEIVAR) to compute nonlinear generalized impulse response functions (GIRFs) to an orthogonalized government spending shock during tranquil and in uncertain times. The parsimonious design of the SEIVAR enables us to focus on extreme deciles of the uncertainty distribution...

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