2 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…
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…