In multivariate nonlinear time series models, impulse response functions are only partially identified, and identifiable summaries such as pseudo impulse responses depend on the chosen shock definition and universe of variables.
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Identification of Impulse Response Functions for Nonlinear Dynamic Models
In multivariate nonlinear time series models, impulse response functions are only partially identified, and identifiable summaries such as pseudo impulse responses depend on the chosen shock definition and universe of variables.