Impulse Response Functions in Nonlinear SVARs

Last updated on Apr 27, 2022

This is a project jointly with Silvia Goncalves, Ana Maria Herrera, and Lutz Kilian. The first paper in this project investigates IRF in linear structural dynamic models that include nonlinearly transformed regressors. The second paper studies the condition under which linear projections in state dependent models estimate the correct impulse response functions.

Elena Pesavento
Elena Pesavento
Professor

My research interests include distributed robotics, mobile computing and programmable matter.

Publications

Impulse Response Functions in Time Varying VARs: A Clustered Local Projections Approach

Scudiero A., Herrera A. M., Pesavento E.
Project

Nonparametric Local Projections

Nonlinearities play an increasingly important role in applied work when studying the responses of macroeconomic aggregates to policy …
Gonçalves S., Herrera A. M., Kilian L., Pesavento E.
PDF Project

State-Dependent Local Projections

Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? …
Gonçalves S., Herrera A. M., Kilian L., Pesavento E.
PDF Project DOI Online Appendix

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed …
Goncalves S., Herrera A. M., Kilian L., Pesavento E.
PDF Project DOI