<p><a href="https://ideas.repec.org/p/fip/fednsr/65.html" rel="nofollow noreferrer">This</a> might be what you're looking for.</p>

CC BY-SA 3.0
2016-12-07T00:35:25.090Z
2016-12-07T00:35:25.090Z
Theoretical Economist
<p>The notes I'm reading define the IRF as $\text{IRF}(h)=E_t(X_{t+h})-E_{t-1}(X_{t+h}|\text{shock}_t)$. All the examples they show are linear, i.e. ARMA. However, they say that for nonlinear the formula gets harder. But they don't show explicitly how to do it. So,how does one compute the IRF for non-linear models?</p>

<p>Any help would be appreciated.</p>

<econometrics>
Impulse Response Functions for non-linear models?
An old man in the sea.
# Impulse Response Functions for non-linear models?

(Asked by: username_0 on 2016-12-05)

The notes I'm reading define the IRF as $\text{IRF}(h)=E\_t(X\_{t+h})-E\_{t-1}(X\_{t+h}|\text{shock}\_t)$. All the examples they show are linear, i.e. ARMA. However, they say that for nonlinear the formula gets harder. But they don't show explicitly how to do it. So,how does one compute the IRF for non-linear models?

Any help would be appreciated.

**Tags:** econometrics

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## 1 answers

### Answer by username_1 on 2016-12-07. Score: 0 | Accepted answer

[This](https://ideas.repec.org/p/fip/fednsr/65.html) might be what you're looking for.


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