Dear Statalist,
I am estimating fiscal multipliers in times of low growth and high growth for a panel of 5 countries for the years 2004- 2019 by following Jorda (2005). Jorda (2005) provided Stata codes for Panel LP but they are not working on my dataset. The LP.ado file is not found on the Stata. I run the following codes of Jorda (2005):
/* Generate LHS variables for the LPs */
foreach x in lgdpr lcpi stir {
forv h = 0/4 {
*gen `x'`h' = f`h'.`x' - l.`x' // Use for cumulative IRF
gen `x'`h' = f`h'.`x' - l.f`h'.`x' // Use for usual IRF
}
}
************************************************** ************
* Compute LPs. Note: a loop is more elegant but tricky to code
* because I am using Cholesky identification and controls vary
* by regression
************************************************** ************
** Real GDP to STIR
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg lgdpr`h' l(1/3).dlgdpr l(1/3).dlcpi l(1/3).dstir, fe cluster(iso)
replace b = _b[l.dstir] if _n == `h'+2
replace u = _b[l.dstir] + 1.645* _se[l.dstir] if _n == `h'+2
replace d = _b[l.dstir] - 1.645* _se[l.dstir] if _n == `h'+2
eststo
}
nois esttab , se nocons keep(L.dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of GDPR to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_gdpr , replace
** Real CPI to STIR (Note: l(0/3).dlgdpr in xtreg)
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg lcpi`h' l(0/3).dlgdpr l(1/3).dlcpi l(1/3).dstir, fe cluster(iso)
replace b = _b[l.dstir] if _n == `h'+2
replace u = _b[l.dstir] + 1.645* _se[l.dstir] if _n == `h'+2
replace d = _b[l.dstir] - 1.645* _se[l.dstir] if _n == `h'+2
eststo
}
nois esttab , se nocons keep(L.dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of CPI to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_cpi , replace
** Real STIR to STIR (Note: l(0/3).dlgdpr and l(0/3).dlcpi in xtreg)
** Also note _n == `h'+1 and _b[dstir]
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg stir`h' l(0/3).dlgdpr l(0/3).dlcpi l(0/3).dstir, fe cluster(iso)
replace b = _b[dstir] if _n == `h'+1
replace u = _b[dstir] + 1.645* _se[dstir] if _n == `h'+1
replace d = _b[dstir] - 1.645* _se[dstir] if _n == `h'+1
eststo
}
nois esttab , se nocons keep(dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of STIR to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_stir , replace
gr combine g_gdpr g_cpi g_stir, cols(1)
gr rename g_all1, replace
All codes run but from here onward the following codes does not run on my panel data. What is the solution? How do I get LP.ado file to estimate local projection in Stata?
Thanks.
************************************************** ***
* Repeat exercise with LP.ado file
* Be sure to load into your personal ado directory
* See instructions here:
* https://www.stata.com/support/faqs/p...ado-directory/
* Generate lags
foreach x in dlgdpr dlcpi dstir {
forv h = 1/5 {
gen `x'`h' = l`h'.`x'
}
}
* Define local with controls
local controls dlgdpr1 dlgdpr2 dlgdpr3 dlcpi1 dlcpi2 dlcpi3 dstir2 dstir3
lp dlgdpr, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level
shock(dstir1) ///
other(`controls') /// Easier to know what are the controls
fe ///
cluster(iso) ///
graph ///
print
gr rename g2_gdpr , replace
lp dlcpi, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level here
shock(dstir1) ///
other(`controls' dlgdpr) /// Easier to know what are the controls
fe ///
cluster(iso) ///
graph ///
print
gr rename g2_dlcpi , replace
lp dstir, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level here
shock(stir) ///
other(`controls' dlgdpr dlcpi lstir) /// Easier to know what are the controls
///noylags ///
fe ///
cluster(iso) ///
graph ///
print
gr rename g2_dstir , replace
gr combine g2_gdpr g2_dlcpi g2_dstir, cols(1)
gr rename g_all2, replace
gr combine g_all1 g_all2
gr rename g_all, replace
I am estimating fiscal multipliers in times of low growth and high growth for a panel of 5 countries for the years 2004- 2019 by following Jorda (2005). Jorda (2005) provided Stata codes for Panel LP but they are not working on my dataset. The LP.ado file is not found on the Stata. I run the following codes of Jorda (2005):
/* Generate LHS variables for the LPs */
foreach x in lgdpr lcpi stir {
forv h = 0/4 {
*gen `x'`h' = f`h'.`x' - l.`x' // Use for cumulative IRF
gen `x'`h' = f`h'.`x' - l.f`h'.`x' // Use for usual IRF
}
}
************************************************** ************
* Compute LPs. Note: a loop is more elegant but tricky to code
* because I am using Cholesky identification and controls vary
* by regression
************************************************** ************
** Real GDP to STIR
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg lgdpr`h' l(1/3).dlgdpr l(1/3).dlcpi l(1/3).dstir, fe cluster(iso)
replace b = _b[l.dstir] if _n == `h'+2
replace u = _b[l.dstir] + 1.645* _se[l.dstir] if _n == `h'+2
replace d = _b[l.dstir] - 1.645* _se[l.dstir] if _n == `h'+2
eststo
}
nois esttab , se nocons keep(L.dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of GDPR to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_gdpr , replace
** Real CPI to STIR (Note: l(0/3).dlgdpr in xtreg)
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg lcpi`h' l(0/3).dlgdpr l(1/3).dlcpi l(1/3).dstir, fe cluster(iso)
replace b = _b[l.dstir] if _n == `h'+2
replace u = _b[l.dstir] + 1.645* _se[l.dstir] if _n == `h'+2
replace d = _b[l.dstir] - 1.645* _se[l.dstir] if _n == `h'+2
eststo
}
nois esttab , se nocons keep(L.dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of CPI to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_cpi , replace
** Real STIR to STIR (Note: l(0/3).dlgdpr and l(0/3).dlcpi in xtreg)
** Also note _n == `h'+1 and _b[dstir]
eststo clear
cap drop b u d Years Zero
gen Years = _n-1 if _n<=6
gen Zero = 0 if _n<=6
gen b=0
gen u=0
gen d=0
qui forv h = 0/4 {
xtreg stir`h' l(0/3).dlgdpr l(0/3).dlcpi l(0/3).dstir, fe cluster(iso)
replace b = _b[dstir] if _n == `h'+1
replace u = _b[dstir] + 1.645* _se[dstir] if _n == `h'+1
replace d = _b[dstir] - 1.645* _se[dstir] if _n == `h'+1
eststo
}
nois esttab , se nocons keep(dstir)
twoway ///
(rarea u d Years, ///
fcolor(gs13) lcolor(gs13) lw(none) lpattern(solid)) ///
(line b Years, lcolor(blue) ///
lpattern(solid) lwidth(thick)) ///
(line Zero Years, lcolor(black)), legend(off) ///
title("Response of STIR to 1pp shock to STIR (Cholesky)", color(black) size(medsmall)) ///
ytitle("Percent", size(medsmall)) xtitle("Year", size(medsmall)) ///
graphregion(color(white)) plotregion(color(white))
gr rename g_stir , replace
gr combine g_gdpr g_cpi g_stir, cols(1)
gr rename g_all1, replace
All codes run but from here onward the following codes does not run on my panel data. What is the solution? How do I get LP.ado file to estimate local projection in Stata?
Thanks.
************************************************** ***
* Repeat exercise with LP.ado file
* Be sure to load into your personal ado directory
* See instructions here:
* https://www.stata.com/support/faqs/p...ado-directory/
* Generate lags
foreach x in dlgdpr dlcpi dstir {
forv h = 1/5 {
gen `x'`h' = l`h'.`x'
}
}
* Define local with controls
local controls dlgdpr1 dlgdpr2 dlgdpr3 dlcpi1 dlcpi2 dlcpi3 dstir2 dstir3
lp dlgdpr, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level
shock(dstir1) ///
other(`controls') /// Easier to know what are the controls
fe ///
cluster(iso) ///
graph ///
gr rename g2_gdpr , replace
lp dlcpi, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level here
shock(dstir1) ///
other(`controls' dlgdpr) /// Easier to know what are the controls
fe ///
cluster(iso) ///
graph ///
gr rename g2_dlcpi , replace
lp dstir, hor(5) lags(3) ///
cholesky ///
///ydiff /// Use for cumulative but use level here
shock(stir) ///
other(`controls' dlgdpr dlcpi lstir) /// Easier to know what are the controls
///noylags ///
fe ///
cluster(iso) ///
graph ///
gr rename g2_dstir , replace
gr combine g2_gdpr g2_dlcpi g2_dstir, cols(1)
gr rename g_all2, replace
gr combine g_all1 g_all2
gr rename g_all, replace
