Impulse response analysis for structural dynamic models with nonlinear regressors by Silvia Gonçalves

Join us for this weeks Econometrics Research Seminar, Summer Term 2021

Professor Sílvia Gonçalves from the Department of Economics, McGill University will present their research on Impulse response analysis for structural dynamic models with nonlinear regressors.

Abstract

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. We derive the closed-form solution for the population impulse responses to a given shock and propose a control function approach to estimating these responses without taking a stand on how the remainder of the model is identified. Our plug-in estimator dispenses with the need for simulations and, unlike conventional local projection (LP) estimators, is consistent. A modified LP estimator is shown to be consistent in special cases, but less accurate in finite samples than the plug-in estimator. 

This seminar will be held via webinar on Zoom at 4pm on Wednesday 12th May. This event is open to all levels of study and is also open to the public. To register your place and gain access to the webinar, please contact the seminar organisers.

This event is part of the Econometrics Research Seminar Series.