2 papers
econ.EM2025
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…
econ.EM2025
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…