Related papers: Dynamic Effects of Persistent Shocks
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
Applied macroeconomists often compute confidence intervals for impulse responses using local projections, i.e., direct linear regressions of future outcomes on current covariates. This paper proves that local projection inference robustly…
To estimate the dynamic effects of an absorbing treatment, researchers often use two-way fixed effects regressions that include leads and lags of the treatment. We show that in settings with variation in treatment timing across units, the…
In this paper, we estimate impulse responses by local projections in high-dimensional settings. We use the desparsified (de-biased) lasso to estimate the high-dimensional local projections, while leaving the impulse response parameter of…
This paper presents existence and uniqueness results for a propagative model of simultaneous impacts that is guaranteed to conserve energy and momentum in the case of elastic impacts with extensions to perfectly plastic and inelastic…
Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when the true data generating process is in fact nonlinear. We…
Inference for impulse responses estimated with local projections presents interesting challenges and opportunities. Analysts typically want to assess the precision of individual estimates, explore the dynamic evolution of the response over…
This paper considers the identification of dynamic treatment effects with panel data, in complex designs where the treatment may not be binary and may not be absorbing. We first show that under no-anticipation and parallel-trends…
We study treatment-effect estimation using panel data. The treatment may be non-binary, non-absorbing, and the outcome may be affected by treatment lags. We make a parallel-trends assumption, and propose event-study estimators of the effect…
This paper discusses aspects of the second order hyperbolic partial differential equation associated with the ideal lossless string under tension and it's relationship to two discrete models. These models are finite differencing in the time…
State-dependent local projections (LPs) are widely used to estimate how impulse responses to exogenous aggregate shocks vary as a function of observable state variables, yet their causal interpretation remains unclear. We show that LPs…
What should applied macroeconomists know about local projection (LP) and vector autoregression (VAR) impulse response estimators? The two methods share the same estimand, but in finite samples lie on opposite ends of a bias-variance…
This work proposes a novel method for estimating the influence that unknown static objects might have over mobile agents. Since the motion of agents can be affected by the presence of fixed objects, it is possible use the information about…
The local projection-instrumental variable (LP-IV) literature has been largely silent on cases in which impulse responses are set-identified, arising when the shock of interest is composite and instruments are correlated with multiple…
We study the dispersive properties of a linear equation in one spatial dimension which is inspired by models in peridynamics. The interplay between nonlocality and dispersion is analyzed in detail through the study of the asymptotics at low…
Narratives about economic events and policies are widely recognised as influential drivers of economic and business behaviour. Yet the statistical identification of narrative emergence remains underdeveloped. Narratives evolve gradually,…
The interaction of a shock wave with a localized constriction in a straight conduit is investigated by systematically varying the blockage ratio in the range 0.35-0.75, the normalized constriction length in the range 0.25-2, and the…
Asynchrony, overlaps and delays in sensory-motor signals introduce ambiguity as to which stimuli, actions, and rewards are causally related. Only the repetition of reward episodes helps distinguish true cause-effect relationships from…
A key question in clinical practice is accurate prediction of patient prognosis. To this end, nowadays, physicians have at their disposal a variety of tests and biomarkers to aid them in optimizing medical care. These tests are often…
We address shock waves generated upon the interaction of tilted plane waves with negative refractive index defect in defocusing media with linear gain and two-photon absorption. We found that in contrast to conservative media where…