The "Replication Code" zip file contains the STATA code used in the paper "Inference for Local Projections" by Atsushi Inoue, Oscar Jorda and Guido Kuersteiner. The folder contains the following files:
- Figure1.do Compares Newey-West bands with LP-FGLS as in Lusompa (2023, Quantitative Economics)
- Figure2.do Compares Newey-West bands with Lag-Augmented bands as in Montiel-Olea and Plagborg-Moller (2021 Econometrica)
- Figure3.do Compares Newey-West bands with sup-t bands as in Montiel-Olea and Plagborg-Moller (2019 Journal of Applied Econometrics)
- Figure4.do Empirical example using significance bands on the response of shelter PCE inflation to a monetary shock using Bauer and Swanson (2023 NBER Macro Annual)
- Figure5.do Monte Carlo exercises showing the probability coverage of significance bands
- sigband_shelterinf.dta Dataset for Figure 4 The naming convention follows that of the figures in the paper.