Bandwidth-Free Inference for Recursive Nonlinear Impulse Response Functions
递归非线性脉冲响应函数的无带宽推断
Recursive nonlinear impulse responses require an estimated innovation law whenever the impact shock is normalized by innovation ranks and future innovations are integrated out. The closest semiparametric recursive construction in the literature estimates the relevant innovation quantile functions smoothly and discusses a direct empirical-residual implementation without developing its complete first-order inference theory. We tackle this gap in a finite-dimensional nonlinear…