Research Department, Federal Reserve Bank of Kansas City This Online Appendix presents
a number of complementary results. Section A. 1 presents auxiliary propositions and …

S2: A more general model S3: Supporting results for the main Theorems S4: Additional
auxillary results S5: A consistent estimator of the Moore–Penrose pseudoinverse S6: Log …

It is well known that Local Projections (LP) residuals are autocorrelated. Conventional
wisdom says that LP have to be estimated by OLS and that GLS is not possible because the …

In this paper, we show that conventional heteroskedasticity and autocorrelation robust
inference procedures based on the reduced form provide tests and confidence intervals for …

We prove that local projections (LPs) and Vector Autoregressions (VARs) estimate the same
impulse responses. This nonparametric result only requires unrestricted lag structures. We …

This dissertation consists of three chapters that study the identification and estimation of
structural economic models. Chapter 1,“Identification and Estimation of Nonseparable …

This book is the latest in a growing list of texts devoted to explaining the concept of
smoothing: in particular, nonparametric regression and probability density estimation …

In a simple model composed of a structural equation and identity, the finite-sample
distribution of the instrumental variable/limited information maximum likelihood (IV/LIML) …

I consider nonparametric identification of a nonseparable model with a continuous
endogenous variable (treatment), a scalar unobservable and an excluded instrumental …

This paper considers parametric inference in a wide range of structural econometric models.
It illustrates how the indirect inference principle can be used in the inference of these …