Adam Smith Business School

Dr Elena Pesavento, Emory College

"Impulse Response Functions in Nonlinear Models: the State-dependent Case"
Friday, 12 May. 3 pm
Online

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Abstract

The presentation will start by stating two different definitions of impulse response functions in non-linear models. I will then discuss why it is important for practitioners to clearly state the object of interest in the context of a state-dependent SVAR model. I will show that a local projection approach may recover one definition of the conditional response but not the other when the potential outcome is a nonlinear function of the shock. I will show that this difference can be empirically relevant. Finally, I will give a brief intuition about possible generalizations and a describe novel approach for estimation of non-linear IRFs in this class of models.

Bio

Elena Pesavento is an Associate Professor in the Department of Economics at Emory University. Her speciality is Time Series Analysis with a focus on inference and testing in Vector Autoregressive Models. In particular, she studies inference when variables are non-stationary (in the presence of unit roots, cointegration or structural breaks) or persistent (local to unity). Her more recent focuses on the analysis of non-linear models with a particular interest in the identification and estimation of impulse response functions in non-linear VARs. Her BS in Statistics started her passion for making statistics fun for undergraduate and graduate students, which she now continues to pursue in her teaching. She is also committed to faculty governance at Emory, having served in leadership roles within Emory College. In her spare time, she competes in agility with her dogs.

 

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For further information, please contact business-school-research@glasgow.ac.uk

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First published: 10 May 2023