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Title: Impulse response analysis for structural dynamic models with nonlinear regressors Authors:  Elena Pesavento - Emory University (United States)
Ana Maria Herrera - University of Kentucky (United States) [presenting]
Silvia Goncalves - McGill University (Canada)
Lutz Kilian - Federal Reserve Bank of Dallas (United States)
Abstract: The construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors is studied. 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-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.