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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.EM2025
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…