Working Paper
Discussion of "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly''
Abstract: This comment discusses Kolesár and Plagborg-Møller's (2025) finding that the standard linear local projection (LP) estimator recovers the average marginal effect (AME) even in nonlinear settings. We apply and discuss a subset their results using a simple nonlinear time series model, emphasizing the role of the weighting function and the impact of nonlinearities on small-sample properties.
JEL Classification: C32; C52; E32;
https://doi.org/10.17016/FEDS.2025.058
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File(s): File format is application/pdf https://www.federalreserve.gov/econres/feds/files/2025058pap.pdf
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Finance and Economics Discussion Series
Publication Date: 2025-08-05
Number: 2025-058