Global | locproj and lpgraph: Stata commands to estimate Local Projections

Summary

locproj estimates linear and nonlinear Impulse Response Functions (IRF) based on the local projections methodology first proposed(LP) by Jordà (2005). The procedure allows for the easy implementation of several options used in the growing literature of LP.

Key points

• Key points:
• locproj reports the IRF, together with its standard error and confidence interval, as an output matrix and through an IRF graph. The user can easily choose different options for the desired IRF graph, as well as several other options to save and use the results.
• It allows for choosing different estimation methods for both time series and panel data, including instrumental variables and quantile regressions. We also show some cases in which it can be used to estimate an Event Study (DiD) regression.
• It also allows for the use of marginal effects instead of regression coefficients, which is highly convenient when the response variable is binary and the user wants to estimate the response as a probability.
• The user can easily choose different options for the desired IRF graph, as well as several other options to save and use the results
• The module also includes a post-estimation command called lpgraph that can plot IRFs estimated by different models.

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