2025/06/16 by Christian Gouriéroux, Gourieroux, Christian, Quinlan Lee +1
Engineering · #Control Systems and Identification #Econometrics (econ.EM) #FOS: Economics and business #Fault Detection and Control Systems
paper · pdf · doi:10.48550/arxiv.2506.13531
openalex publication_date 2025/06/16 · openalex created_date 2025/10/13 · openalex updated_date 2026/07/28
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 particular, we introduce the nonlinear autoregressive representation with Gaussian innovations and characterize the identified set. This set arises from the multiplicity of nonlinear innovations and transformations which leave invariant the standard normal density. We then discuss possible identifying restrictions, such as non-Gaussianity of independent sources, or identifiable parameters by means of learning algorithms, and the possibility of identification in nonlinear dynamic factor models when the underlying latent factors have different dynamics. We also explain how these identification results depend ultimately on the set of series under consideration.