Impulse response analysis for structural dynamic models with nonlinear regressors

被引：2

作者：

Goncalves, Silvia ^{[1
]}

Herrera, Ana Maria ^{[2
]}

Kilian, Lutz ^{[3
]}

Pesavento, Elena ^{[4
]}

机构：

[1] McGill Univ, Dept Econ, 855 Sherbrooke St W, Montreal, PQ H3A 2T7, Canada

[2] Univ Kentucky, Dept Econ, 550 South Limestone, Lexington, KY 40506 USA

[3] Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA

[4] Emory Univ, Econ Dept, 1602 Fishburne Dr, Atlanta, GA 30322 USA

来源：

JOURNAL OF ECONOMETRICS | 2021年 / 225卷 / 01期

关键词：

Structural model; Censored regressor; Nonlinear transformation; Nonlinear responses; Partial identification; Control function; Block recursive model; Monte Carlo integration; Local projection; OIL PRICE SHOCKS; ECONOMIC-ACTIVITY; MONETARY-POLICY; INTEREST-RATES; ENERGY PRICES; TAX; INCREASES;

D O I：

10.1016/j.jeconom.2021.06.009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：107 / 130

页数：24

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