Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in linear structural dynamic models that include nonlinearly transformed regressors. derive closed-form solution for population to a given shock and propose control function approach estimating these without taking stand on how remainder model is identified. Our plug-in estimator dispenses with need simulations and, unlike conventional local projection (LP) estimators, consistent. A modified LP shown be consistent special cases, but less accurate finite samples than estimator.