Silvia Goncalves, Ana Maria Herrera, Lutz Kilian, Elena Peavento, Iones Kelanemer Holban
arXiv 11 Jun 2026 · Econometrics
arXiv:2606.13519 · PDF · DOI · OpenAlex · Extracted main text
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 conditional mean, augmented by a density ratio that captures the effect of shifting the shock of interest. We combine this moment condition with cross-fitting that handles serial dependence. The resulting estimator is $\sqrt{T}$-consistent and asymptotically normal. We examine the finite-sample performance of the estimator across a range of nonlinear data generating processes and illustrate its use in two empirical examples.
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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 | Chernozhukov, V. and Newey, W.K. and Singh, R (2022) Automatic debiased machine learning of causal and structural effects | 1.000 | 6 | 4 | 100% |
| 2 | Gon calves, S. and Herrera, A.M. and Kilian, L. and Pesavento, E (2021) Impulse response analysis for structural dynamic models with nonlinear regressors self | 1.000 | 6 | 4 | 100% |
| 3 | Gon calves, S. and Herrera, A.M. and Kilian, L. and Pesavento, E (2024) State-dependent local projections self | 1.000 | 6 | 4 | 100% |
| 4 | Gon calves, S. and Herrera, A.M. and Kilian, L. and Pesavento, E (2024) Nonparametric Local Projections self | 1.000 | 6 | 3 | 100% |
| 5 | Huang, J. and Jordà, O. and Marcellino, M. and Tornese, T (2026) High-Dimensional Nonparametric Local Projections | 1.000 | 5 | 4 | 100% |
| 6 | Kolesár, M. and Plagborg-Møller, M (2025) Dynamic causal effects in a nonlinear world: The good, the bad, and the ugly | 1.000 | 5 | 3 | 100% |
| 7 | Semenova, V. and Goldman, M. and Chernozhukov, V. and Taddy, M (2023) Inference on heterogeneous treatment effects in high-dimensional dynamic panels under weak dependence | 0.928 | 5 | 3 | 80% |
| 8 | Ramey, V.A. and Zubairy, S (2018) Government spending multipliers in good times and in bad: Evidence from U.S. historical data | 0.928 | 4 | 3 | 100% |
| 9 | Ballinari, D. and Wehrli, A (2025) Semiparametric inference for impulse response functions using double/debiased machine learning | 0.644 | 2 | 2 | 100% |
| 10 | Ben Zeev, N. and Ramey, V.A. and Zubairy, S (2023) Do government spending multipliers depend on the sign of the shock? | 0.644 | 2 | 2 | 100% |
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