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

Edward Herbst and Benjamin K. Johannsen
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Benjamin K. Johannsen: https://www.federalreserve.gov/econres/benjamin-k-johannsen.htm

No 2025-058, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This comment discusses Kolesár and Plagborg-Møller's (2025) finding that the standard linear local projection (LP) estimator recovers the average marginal effect (AME) even in nonlinear settings. We apply and discuss a subset their results using a simple nonlinear time series model, emphasizing the role of the weighting function and the impact of nonlinearities on small-sample properties.

Keywords: Local projections; Average marginal effect; Nonlinear time series; Small-sample properties; Weighting function (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 (search for similar items in EconPapers)
Pages: 12 p.
Date: 2025-08-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2025-58

DOI: 10.17016/FEDS.2025.058

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