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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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  • 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\'ar, 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.
    • Handle: RePEc:arx:papers:2504.01140
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Toru Kitagawa & Weining Wang & Mengshan Xu, 2022. "Policy Choice in Time Series by Empirical Welfare Maximization," Papers 2205.03970, arXiv.org, revised Dec 2024.
    6. 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.
    7. 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.
    8. Bonsoo Koo & Seojeong Lee & Myung Hwan Seo, 2022. "What Impulse Response Do Instrumental Variables Identify?," Papers 2208.11828, arXiv.org, revised Aug 2023.
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