7 citations · 15 across the 10 of their papers we have counts for
5 papers · 1 filter
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…