How do monetary policy shocks affect firm investment? This project provides new evidence on US non-financial firms and a novel non-parametric framework based on sieve estimators. The key advantage of the methodology is that it does not impose any assumptions on how the effect of shocks varies across firms thereby allowing for general forms of heterogeneity in the transmission of shocks. The proposed methodology is a generalization of local projections and nests several common local projection specifications, including linear and nonlinear.