3 papers
econ.EM2025
Identification of Impulse Response Functions for Nonlinear Dynamic Models
Christian Gourieroux, Quinlan Lee
We explore the issues of identification for nonlinear Impulse Response Functions in nonlinear dynamic models and discuss the settings in which the problem can be mitigated. In part…
stat.ML2025
A simple estimator of the correlation kernel matrix of a determinantal point process
Christian Gouriéroux, Yang Lu
The Determinantal Point Process (DPP) is a parameterized model for multivariate binary variables, characterized by a correlation kernel matrix. This paper proposes a closed form es…
econ.EM2024
Forecast Relative Error Decomposition
Christian Gourieroux, Quinlan Lee
We introduce a class of relative error decomposition measures that are well-suited for the analysis of shocks in nonlinear dynamic models. They include the Forecast Relative Error…