7 citations · 15 across the 10 of their papers we have counts for
10 papers
Nonlinear Impulse Response Functions and Local Projections
Christian Gourieroux, Quinlan Lee
The goal of this paper is to extend the nonparametric estimation of Impulse Response Functions (IRF) by means of local projections in the nonlinear dynamic framework. We discuss th…
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood
Christian Gourieroux, Joann Jasiak
This paper considers nonlinear dynamic models where the main parameter of interest is a nonnegative matrix characterizing the network (contagion) effects. This network matrix is us…
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models
Christian Gourieroux, Joann Jasiak
We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce cl…
Long Run Risk in Stationary Structural Vector Autoregressive Models
Christian Gourieroux, Joann Jasiak
This paper introduces a local-to-unity/small sigma process for a stationary time series with strong persistence and non-negligible long run risk. This process represents the statio…
Generalized Covariance Estimator
Christian Gourieroux, Joann Jasiak
We consider a class of semi-parametric dynamic models with strong white noise errors. This class of processes includes the standard Vector Autoregressive (VAR) model, the nonfundam…
Temporally Local Maximum Likelihood with Application to SIS Model
Christian Gourieroux, Joann Jasiak
The parametric estimators applied by rolling are commonly used in the analysis of time series with nonlinear features, such as structural change due to time varying parameters and…
Uncertainty on the Reproduction Ratio in the SIR Model
Sean Elliott, Christian Gourieroux
The aim of this paper is to understand the extreme variability on the estimated reproduction ratio observed in practice. For expository purpose we consider a discrete time st…
SIR Model with Stochastic Transmission
Christian Gourieroux, Yang Lu
The Susceptible-Infected-Recovered (SIR) model is the cornerstone of epidemiological models. However, this specification depends on two parameters only, which implies a lack of fle…
Analysis of Virus Propagation: A Transition Model Representation of Stochastic Epidemiological Models
Christian Gourieroux, Joann Jasiak
The growing literature on the propagation of COVID-19 relies on various dynamic SIR-type models (Susceptible-Infected-Recovered) which yield model-dependent results. For transparen…
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus
Christian Gourieroux, Joann Jasiak
A major difficulty in the analysis of propagation of the coronavirus is that many infected individuals show no symptoms of Covid-19. This implies a lack of information on the total…