Comment reveals nuances of dynamic causal effects in nonlinear settings, highlighting implications for local projection methods.
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.
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Herbst et al. (2025) studied this question.
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