local projections

STATA code

• The STATA command ssc install lpdid will install an ado file to estimate local projections difference-in-differences models based on my paper A local projections approach to difference-in-differences (with Arindrajit Dube, Daniele Girardi, and Alan M. Taylor). The ado file was put together by Daniele Girardi.

• STATA now has its own native command lpirf

• The STATA command ssc install locproj created by Alfonso Ugarte Ruiz (BBVA research) covers multiple applications of local projections including applications with panel data. It also produces very nice looking response figures.

• Replication code for all examples in the review article "Local Projections" (joint with Alan Taylor, forthcoming in the Journal of Economic Literature), is available here:

https://github.com/ojorda/JEL-Code

• Replication code for all examples in the review article "Inference for Local Projections" (with Atsushi Inoue and Guido Kuersteiner, prepared for The Econometrics Journal), is available here:

https://github.com/ojorda/Econometrics-Journal

R code: package lpirfs

• Code prepared by Philipp Adämmer. Here is a description of its capabilities

Silvia Miranda Agrippino's MATLAB code for "The Transmission of Monetary Policy Shocks" (with G. Ricco). 

• typical and Bayesian local projections available here

replication code for "Impulse responses by smooth local projections" by Barnichon and Brownlees

• code from the Review and Economic Statistics publication available here

Bayesian local projections

• Amaze Lusompa has written a great paper on how to think about Bayesian local projections. Check his research here

inference

• Mikkel Plagborg-Møller is doing great research on local projections. Check his papers here: https://www.mikkelpm.com/research/

other applications of local projections

• My colleague Regis Barnichon has written a series of very interesting papers. Check his research here: https://sites.google.com/site/regisbarnichon/

references

main reference: 

• Estimation and Inference of Impulse Responses by Local Projections

American Economic Review 95(1), March 2005, 161-182

list of citations from scholar.google.com with some interesting applications

Review articles on local projections that provide an overview:

• Local Projections 

with Alan Taylor, Journal of Economic Literature, forthcoming. Code available here: https://github.com/ojorda/JEL-Code

• Inference for Local Projections

with Atsushi Inoue and Guido Kuersteiner. Prepared for The Econometrics Journal. Code available here: https://github.com/ojorda/Econometrics-Journal