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Found 6 papers, 0 papers with code
Nonlinear Impulse Response Functions and Local Projections
We discuss the existence of a nonlinear autoregressive representation for a Markov process, and explain how their Impulse Response Functions are directly linked to the nonlinear Local Projection, as in the case for the linear setting.
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood
We introduce a new Identifying Maximum Likelihood (IML) method for consistent estimation of the identified set of admissible NMF's and derive its asymptotic distribution.
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models
We introduce closed-form formulas of out-of-sample predictive densities for forecasting and backcasting of mixed causal-noncausal (Structural) Vector Autoregressive VAR models.
Long Run Risk in Stationary Structural Vector Autoregressive Models
This process represents the stationary long run component in an unobserved short- and long-run components model involving different time scales.
Generalized Covariance Estimator
This class of processes includes the standard Vector Autoregressive (VAR) model, the nonfundamental structural VAR, the mixed causal-noncausal models, as well as nonlinear dynamic models such as the (multivariate) ARCH-M model.
Uncertainty on the Reproduction Ratio in the SIR Model
The aim of this paper is to understand the extreme variability on the estimated reproduction ratio $R_0$ observed in practice.
Methodology Econometrics Applications
