Christian Gourieroux, Quinlan Lee
arXiv 25 Jun 2024 · Econometrics
arXiv:2406.17708 · PDF · DOI · OpenAlex · Extracted main text
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 Decomposition (FRED), Forecast Error Kullback Decomposition (FEKD) and Forecast Error Laplace Decomposition (FELD). These measures are favourable over the traditional Forecast Error Variance Decomposition (FEVD) because they account for nonlinear dependence in both a serial and cross-sectional sense. This is illustrated by applications to dynamic models for qualitative data, count data, stochastic volatility and cyberrisk.
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| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials | 0.511 | 2 | 2 |