locproj: A new Stata command to estimate local projections

locproj estimates linear and nonlinear impulse response functions (IRFs) based on the local projections methodology first proposed by Jorda (2005). The procedure allows one to easily implement several options used in the growing literature of local projections. The options allow defining the desired specification in a fully automatic or in a customized way. For instance, it allows defining any nonlinear combination of variables as the impulse (shock) or defining methodological options that depend on the response horizon. It allows choosing different estimation methods for both time series and panel data, including the instrumental variables options currently available in Stata. It performs the necessary transformations to the dependent variable in order to estimate the local projections in the desired transformation, such as levels, logs, differences, log-differences, cumulative changes, and cumulative log-differences. For every option, the procedure generates the corresponding transformation of the dependent variable needed in case the user wants to include lags of the dependent variable. It reports the IRF, together with its standard error and confidence interval as an output matrix and through an IRF graph. The user can easily choose different options for the desired IRF graph and other options to save and use the results.