Semiparametric Local Projections

Federal Reserve Bank of Dallas, Working Papers 2026

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Authors: Śılvia Gonçalves, Ana María Herrera, Lutz Kilian, Elena Pesavento, Iones Kelanemer Holban
DOI: 10.24149/wp2616
Cited by: 1
References: 35

Abstract

This paper proposes 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.

Fields of Study & Subjects

Random Matrices and Applications Point processes and geometric inequalities Bayesian Methods and Mixture Models

Publication details

Journal / source
Federal Reserve Bank of Dallas, Working Papers
Publisher
Federal Reserve Bank of Dallas
Volume
2026
Issue
2616
Publication date
1 June 2026