2 papers
econ.EM2026
Semiparametric Local Projections
Silvia Goncalves, Ana Maria Herrera, Lutz Kilian +2
We propose a semiparametric local projection estimator of nonlinear impulse response functions for a broad class of structural dynamic models relevant for applied macroeconomics, i…
econ.EM2026
Clustered Local Projections for Time-Varying Models
Ana Maria Herrera, Elena Pesavento, Alessia Scudiero
We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-…