CSDLP: Stata module to compute causal state-dependent local projections

Merwan Roudane

Statistical Software Components from Boston College Department of Economics

Abstract: csdlp implements the causal state-dependent local projections of David, Giacomini, Jiao and Wang (2026). For each horizon h it estimates Y_{i,t+h} = g_h(Z_{i,t-1}) X_t + W'_{i,t-1} gamma_h + u_{i,t+h} where g_h(.) is an unknown function of a predetermined micro state. Under causal shock exogeneity (Assumption 1), a predetermined state (Assumption 2) and the conditional-mean condition that the outcome is linear in the shock with a state-dependent coefficient (Assumption 3), g_h(z) is the total causal impulse response per unit shock for units with state z. The state may be endogenous (it may depend on past shocks).

Language: Stata
Requires: Stata version 16
Keywords: local projections; state-dependency; causal shock (search for similar items in EconPapers)
Date: 2026-11-10
Note: This module should be installed from within Stata by typing "ssc install csdlp". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/c/csdlp.ado
http://fmwww.bc.edu/repec/bocode/c/csdlp.sthlp
http://fmwww.bc.edu/repec/bocode/c/csdlp_agg.ado
http://fmwww.bc.edu/repec/bocode/c/csdlp_diff.ado
http://fmwww.bc.edu/repec/bocode/c/csdlp_example.do
http://fmwww.bc.edu/repec/bocode/c/csdlp_graph.ado
http://fmwww.bc.edu/repec/bocode/c/csdlp_graph.sthlp
http://fmwww.bc.edu/repec/bocode/c/csdlp_mc.do
http://fmwww.bc.edu/repec/bocode/c/csdlp_methods.sthlp
http://fmwww.bc.edu/repec/bocode/c/csdlp_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/c/csdlp_realdata.do
http://fmwww.bc.edu/repec/bocode/c/csdlp_states_build.do
http://fmwww.bc.edu/repec/bocode/c/csdlp_states.dta

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s460015

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().