.png){kind=icon}
.png){kind=icon}
Return
Impulse response analysis for structural dynamic models with nonlinear regressors
.png){kind=icon}
OA
AI
DOI：10.1016/j.jeconom.2021.06.009.png)
.png){kind=icon}
.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
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 control function approach to estimating these responses without taking a stand on how the remainder of the model is identified. Our plug-in estimator dispenses with the need for simulations and, unlike conventional local projection (LP) estimators, is consistent. A modified LP estimator is shown to be consistent in special cases, but less accurate in finite samples than the plug-in estimator. (C) 2021 Elsevier B.V. All rights reserved.
Keywords:
Structural model
Censored regressor
Nonlinear transformation
Nonlinear responses
Partial identification
Control function
Block recursive model
Monte Carlo integration
Local projection
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
4
Papers:
5.2K
Citations:
3.0W
Organization
View more organizations