Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials
基于 Hermite 多项式的非线性预测误差方差分解AI 解读 ↓
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基于 Hermite 多项式的非线性预测误差方差分解AI 解读 ↓
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A novel approach to Forecast Error Variance Decompositions (FEVD) in nonlinear Structural Vector Autoregressive models with Gaussian innovations is proposed, called the Hermite FEVD (HFEVD). This method employs a Hermite polynomial expansion to approximate the future trajectory of a nonlinear process. The orthogonality of Hermite polynomials under the Gaussian density facilitates the construction of the decomposition, providing a separation of shock effects by time horizon, by components of the structural innovation and by degree of nonlinearity. A link between the HFEVD and nonlinear Impulse Response Functions is established and distinguishes between marginal and interaction contributions of shocks. Simulation results from standard nonlinear models are provided as illustrations and an application to fiscal policy shocks is examined.
Joint-event forecasts combine an estimated dependence model with current marginal forecasts. Retaining historical transforms at the marginal fits available when each outcome arrived creates overlapping estimation errors. We derive their joint influence with the terminal estimates in a stable Vine Copula VAR with normal innovation margins and a fixed, correctly specified Gaussian or positive Clayton vine. An intercept identity and the stable VAR filter reduce the historical…
通过正交化自适应估计发现存在混杂的时间序列因果滞后结构
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the false discovery rate (FDR). ORACLE-VARX does all three in one pipeline. First, double/debiased machine learning (DML) removes nonlinear confounder effects from the outcomes and the lagged series. Second, adaptive causal…
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欧元区货币政策传导是否存在不对称性?
We answer the question posed in the title with a nonlinear mixed-frequency vector autoregression, estimated with Bayesian additive regression trees. The model combines monthly macro-financial variables with quarterly bank lending survey data, and identifies the dynamic responses from high-frequency policy surprises. Sign asymmetry dominates; a tightening produces monetary policy transmission mostly in line with the theoretical predictions, whereas easing of any size produces…
基于条件异方差识别日度油价冲击及其不确定性
This paper develops a daily structural VAR for identifying oil price shocks from conditional heteroskedasticity and quantifies the transmission of their timevarying uncertainty. Identification exploits volatility clustering and spillovers in a structural GARCH specification and the complete identified set is derived. We derive covariance impulse response functions and introduce a time-varying forecast error variance decomposition (TV-FEVD) that allows for a decomposition of…
Abstract This paper shows how the structural representation of a vector autoregressive model can support forecast analysis. We offer a unified framework that formalizes how the structural form of the model can help form a narrative for two key statistics in real-time VAR forecasting: the forecast errors at the outturn of the data, and the consequent revisions of the forecast. We conduct an exercise on the UK, focusing on the inflation surge that started in 2022. We show that…