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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…
Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials
Quinlan Lee
A novel approach to Forecast Error Variance Decompositions (FEVD) in nonlinear Structural Vector Autoregressive models with Gaussian innovations is proposed, called the Hermite FEV…
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…
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…