Nonlinear responses

Discussion of: “Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly”

The ease of estimating linear local projections has made them a popular tool for impulse response function analysis. Koles´ar and Plagborg-Møller’s main goal is to inquire whether local projections (LP) estimands of impulse response functions have a …

Impulse Response Functions in Time Varying VARs: A Clustered Local Projections Approach

Nonparametric Local Projections

Nonlinearities play an increasingly important role in applied work when studying the responses of macroeconomic aggregates to policy shocks. Seemingly natural adaptations of the popular local linear projection estimator to nonlinear settings may fail …

State-Dependent Local Projections

Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the …

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a …