Impulse response analysis for structural dynamic models with nonlinear regressors

Publicado en

  • Journal of Econometrics


  • 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.

fecha de publicación

  • 2021

Líneas de investigación

  • Block recursive model
  • Censored regressor
  • Control function
  • Local projection
  • Monte Carlo integration
  • Nonlinear responses
  • Nonlinear transformation
  • Partial identification
  • Structural model


  • 225


  • 1