local projections

STATA code

• simple time series example: lp_example.do

• LPIV example: lpiv_example.do; .dta files needed: lpiv_15Mar2022.dta and RR_monetary_shock_quarterly.dta

• panel data example: lp_example_panel.do

• code for inverse propensity score weighted - regression augmented LPs used in:

The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy

The Economic Journal, 2016, 126(590): 219-255

• code for stratified LPs used in:

Sovereigns versus Banks: Credit, Crises, and Consequences

Journal of the European Economic Association, 2016, 14(1): 45-79

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. I particularly like his paper with José Luis Montiel Olea. The paper is available here

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

how to use IV methods for identification

• The effects of quasi-random monetary experiments

Journal of Monetary Economics, 112: 22-40