Local projections impulse responde by country group

[Wildo Gonzalez]

In the following example by Oscar Jorda, I want to add impulse responses by different groups of countries, specifically developed, emerging and low-income countries. Can anyone give me some suggestions on how to do it, and also if you think I can make the code more efficient with some loops, your help would be greatly appreciated.


clear
cap drop _all
cap graph drop _all

/********************* READ IN THE DATA ***********************/
use http://data.macrohistory.net/JST/JSTdatasetR5.dta

sort ifs year /* ifs indicates the country */
xtset ifs year, yearly

/******************** Some Data transformations ***************/
gen lgdpr = 100*ln(rgdppc*pop) /* convert to RGDP and take log */
gen lcpi = 100*ln(cpi)

gen dlcpi = d.lcpi
gen dlgdpr = d.lgdpr
gen dstir = d.stir
gen lstir = l.stir

/* 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

}
}

********************************************
* Set Sample if only interested in post-WW2
********************************************
*keep if year>=1950

************************************************** ************
* 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
gr rename g_all1, replace