美联储：关于“非线性世界中的动态因果效应：好的、坏的与丑陋的”的讨论（英文版）

This comment discusses Kolesár and Plagbord-Møller (2025) finding that the standard linear local projection (LP) estimator recovers the average marginal effect (AME) even in nonlinear settings. We apply and discuss a subset their results using a simple nonlinear time series model, emphasizing the role of the weighting function and the impact of nonlinearities on small-sample properties.