Dynamic causal effects for time series in Stata

David Schenck ()
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David Schenck: StataCorp

Canadian Stata Users' Group Meetings 2025 from Stata Users Group

Abstract: In time-series analysis, researchers are often interested in estimating dynamic causal effects. These effects are estimated using impulse–response functions. In this talk, I describe several methods for estimating impulse–response functions with a focus on instrumental-variables approaches. I describe the theory and then show how to estimate effects using Stata's lpirf, ivsvar, and ivlpirf commands. I also demonstrate tools to graph, tabulate, and compare impulse responses across models.

Date: 2025-10-05
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Persistent link: https://EconPapers.repec.org/RePEc:boc:cand25:14

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