Good news! In the new version of Stata 18, we have a new command that produces local-projection impulse–response functions. You can find the complete description of the command here. Local projections were introduced in 2005 by Òscar Jordà in the following AER article: Estimation and Inference of Impulse Responses by Local Projections. To illustrate the … Continue reading Illustrating the new LPIRF Stata 18’s command