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Nonlinearity in Dynamic Causal Effects: Making the Bad into the Good, and the Good into the Great?

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Listed:
  • Toru Kitagawa
  • Weining Wang
  • Mengshan Xu

Abstract

This paper was prepared as a comment on "Dynamic Causal Effects in a Nonlinear World: the Good, the Bad, and the Ugly" by Michal Koles\'{a}r and Mikkel Plagborg-M{\o}ller. We make three comments, including a novel contribution to the literature, showing how a reasonable economic interpretation can potentially be restored for average-effect estimators with negative weights.

Suggested Citation

  • Toru Kitagawa & Weining Wang & Mengshan Xu, 2025. "Nonlinearity in Dynamic Causal Effects: Making the Bad into the Good, and the Good into the Great?," Papers 2504.01140, arXiv.org, revised Jun 2025.
    • Handle: RePEc:arx:papers:2504.01140
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    References listed on IDEAS

    as
    1. Toru Kitagawa & Weining Wang & Mengshan Xu, 2024. "Policy choice in time series by empirical welfare maximization," CeMMAP working papers 27/24, Institute for Fiscal Studies.
    2. Richard K. Crump & V. Joseph Hotz & Guido W. Imbens & Oscar A. Mitnik, 2009. "Dealing with limited overlap in estimation of average treatment effects," Biometrika, Biometrika Trust, vol. 96(1), pages 187-199.
    3. Iavor Bojinov & Neil Shephard, 2019. "Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1665-1682, October.
    4. Toru Kitagawa & Weining Wang & Mengshan Xu, 2022. "Policy Choice in Time Series by Empirical Welfare Maximization," Papers 2205.03970, arXiv.org, revised Nov 2025.
    5. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-475, March.
    6. Bonsoo Koo & Seojeong Lee & Myung Hwan Seo & Masaya Takano, 2022. "What Impulse Response Do Instrumental Variables Identify?," Papers 2208.11828, arXiv.org, revised Jan 2026.
    7. Joshua D. Angrist & Òscar Jordà & Guido M. Kuersteiner, 2018. "Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 371-387, July.
    8. Joshua D. Angrist, 1998. "Estimating the Labor Market Impact of Voluntary Military Service Using Social Security Data on Military Applicants," Econometrica, Econometric Society, vol. 66(2), pages 249-288, March.
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