Michal Kolesár, Mikkel Plagborg-Møller
arXiv 15 Nov 2024 · Econometrics · publishedJournal of Business and Economic Statistics (2025) · 3 citations (OpenAlex)
arXiv:2411.10415 · PDF · DOI · OpenAlex · Extracted main text
Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when the true data generating process is in fact nonlinear. We show that vector autoregressions and linear local projections onto observed shocks or proxies identify weighted averages of causal effects regardless of the extent of nonlinearities. By contrast, identification approaches that exploit heteroskedasticity or non-Gaussianity of latent shocks are highly sensitive to departures from linearity. Our analysis is based on new results on the identification of marginal treatment effects through weighted regressions, which may also be of interest to researchers outside macroeconomics.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rambachan and Shephard (2021) When do common time series estimands have nonparametric causal meaning? | 1.000 | 9 | 4 | 100% |
| 2 | Goncalves, Herrera, Kilian, and Pesavento (2024) State-dependent local projections | 1.000 | 7 | 4 | 100% |
| 3 | Angrist and Kuersteiner (2011) Causal Effects of Monetary Shocks: Semiparametric Conditional Independence Tests with a Multinomial Propensity Score | 0.928 | 4 | 4 | 100% |
| 4 | Angrist, Jordà, and Kuersteiner (2018) Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited | 0.928 | 4 | 4 | 100% |
| 5 | Goncalves, Herrera, Kilian, and Pesavento (2024) Nonparametric Local Projections | 0.928 | 4 | 4 | 100% |
| Caravello2024 | unmatched citation key Caravello2024 | 0.928 | 4 | 3 | 100% |
| 7 | Goldsmith-Pinkham, Hull, and Kolesár (2024) Contamination Bias in Linear Regressions | 0.928 | 4 | 3 | 100% |
| 8 | Stock and Watson (2018) Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments | 0.928 | 4 | 3 | 100% |
| 9 | Lewis (2024) Identification Based on Higher Moments | 0.874 | 7 | 2 | 100% |
| 10 | Lewbel (2012) Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models | 0.874 | 5 | 2 | 100% |
Showing the top 10 of 82 scored citations. 1 of these could not be matched to a bibliography entry, so only the citation key is shown.
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