State-dependent local projections recover causal responses when the conditional mean is linear in the shock, a new sieve nonparametric estimator restores this interpretation with valid inference, and empirical application shows material changes in heterogeneous firm investment responses to monetary
arXiv preprint arXiv:2411.10415 , year=
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Causal State-Dependent Local Projections
State-dependent local projections recover causal responses when the conditional mean is linear in the shock, a new sieve nonparametric estimator restores this interpretation with valid inference, and empirical application shows material changes in heterogeneous firm investment responses to monetary