Using locproj to easily estimate nonlinear local projections

I review all the possible alternatives of specifying nonlinear impulse– response functions (IRF) through local-projections that are available using the community-contributed command, locproj. For instance, the command allows easily specifying shocks that include basic nonlinearities such as state-dependent impacts, quadratic effects, interactions between continuous variables, etc. Moreover, it allows nonlinearities in the dependent variable, such as when we are interested in estimating the response of the probability of a binary outcome or when one wants to uncover nonlinear effects of a shock by letting the parameters of the local projection regressions vary across the conditional distribution of the dependent variable through the use of quantile regression. I explain how to use all the available options in locproj to accommodate all of these different methodological alternatives and discuss the advantages that the command offers, for instance, that the command facilitates introducing lags of the dependent or the shock variables when using the Stata command qreg, which in principle does not allow time-series operators.