Dynamic Effects of Persistent Shocks
研究发现许多文献中的叙事冲击具有持续性，而两种主流估计方法（局部投影和分布滞后模型）对持续性的处理不同，导致估计结果不同。作者提出修正方法以统一两者，并应用于知名实证研究，发现持续性处理方式对动态效应估计有显著影响。
ABSTRACT We provide evidence that many narrative shocks used by prominent literature display some persistence. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re‐establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well‐known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.