IVLPIRF2: Stata module to compute IV local-projection impulse-response functions with panel data and Driscoll-Kraay inference

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: ivlpirf2 estimates impulse-response functions (IRFs) using the local projection (LP) method of Jordà (2005) with instrumental variables. Unlike traditional VAR-based IRFs, local projections estimate each horizon's response directly via separate regressions, making them robust to model misspecification.

Language: Stata
Requires: Stata version 14
Keywords: impulse response functions; local projections; instrumental variables (search for similar items in EconPapers)
Date: 2026-03-16
Note: This module should be installed from within Stata by typing "ssc install ivlpirf2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/i/ivlpirf2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlpirf2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/ivlpirf2_example.do sample do-file (text/plain)

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