Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Cumulative IRF after lpirf (Local-projection) in Stata 18

    I am happy to get local-projection impulse–responses in Stata 18. But I cannot generate cirf after lpirf. I went through the following steps:

    lpirf y x1 x2 x3, lags(1/4) vce(robust) step(12)
    irf set lpirf.irf, replace
    irf create lpmodel
    irf graph cirf, impulse(x1 x2 x3) response(y) yline(0) xlabel(0(2)12)


    Eventually, I received an error code:
    cirf not available after lpirf

    Could anyone please suggest me an alternative way?

  • #2
    I would like to second this question. It's a bit odd that lpirf seems not to have a way to produce cumulative IRFs.

    The only workaround I've found is to use ivlpirf, using the endogenous variable as an instrument for itself, and then using the cumulative option:
    ivlpirf y, endogenous(x=x) cumulative
    This produces a cumulative IRF that can then be produced using the "irf graph" command.

    Comment

    Working...
    X