Impulse response analysis for structural dynamic models with nonlinear regressors

Silvia Goncalves (), Ana María Herrera, Lutz Kilian and Elena Pesavento

Journal of Econometrics, 2021, vol. 225, issue 1, 107-130

Abstract: 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.

Keywords: Structural model; Censored regressor; Nonlinear transformation; Nonlinear responses; Partial identification; Control function; Block recursive model; Monte Carlo integration; Local projection (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Working Paper: Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:225:y:2021:i:1:p:107-130

DOI: 10.1016/j.jeconom.2021.06.009

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