TOTIMPACT: Stata module to compute total impact effects in time series regressions

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: totimpact estimates the total impact effect of each regressor in a linear time series regression, following Pesaran and Smith (2014). In an experiment the inputs are made orthogonal, so the effect of one input is unambiguous. In observational time series the regressors are realisations of correlated stochastic processes that cannot be held fixed, and the ordinary multiple-regression coefficient beta_i — the ceteris paribus (other things equal) effect — is often not the quantity of interest.

Language: Stata
Requires: Stata version 14
Keywords: time series; impact; orthogonal effects (search for similar items in EconPapers)
Date: 2026-07-08
Note: This module should be installed from within Stata by typing "ssc install totimpact". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/t/totimpact.ado
http://fmwww.bc.edu/repec/bocode/t/totimpact.sthlp
http://fmwww.bc.edu/repec/bocode/t/totimpact_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/t/totimpact_example.do

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