State-dependent local projections
研究了状态依赖的局部投影法能否正确估计宏观经济对结构性冲击的总体响应，发现当状态依赖于冲击时，该方法仅适用于无穷小冲击，对较大冲击的估计误差可达82%。
Do state-dependent local projections asymptotically recover the population responses of macroeconomic aggregates to structural shocks? The answer to this question depends on how the state of the economy is determined and on the magnitude of the shocks. When the state is exogenous, the local projection estimator recovers the population response regardless of the shock size. When the state depends on macroeconomic shocks, as is common in empirical work, local projections only recover the conditional response to an infinitesimal shock, but not the responses to larger shocks of interest in many applications. Simulations suggest that impulse responses may be off by as much as 82 percent and fiscal multipliers by as much as 40 percent.