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半参数局部投影AI 解读

We propose a semiparametric local projection estimator of nonlinear impulse response functions for a broad class of structural dynamic models relevant for applied macroeconomics, including models with nonlinearly transformed regressors, state dependent coefficients, and nonlinear interactions between shocks and state variables. The estimator is based on a doubly robust moment condition that identifies the average response function as a linear functional of a nonparametric…

时变模型的聚类局部投影AI 解读

We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the clustered LP recovers the conditional average response when the driving variables are exogenous and a weighted average of the conditional marginal effects when they are endogenous. We propose an iterative estimation method that first classifies…