IRF for dynamic panel data model

[Russel Wilson]

Good morning, dears

Does stata have some built-in function for generating IRF in a dynamic panel data model? For instance, I use xtdpdgmm to estimate the model and I could not find any built-in functions for IRF.

I would greatly appreciate any help.

[Sebastian Kripfganz]

I am afraid there is no built-in functionality for panel data IRFs after estimating a single-equation dynamic panel data model. One issue here is that you would need to make some assumptions about how the regressors themselves evolve over time. If you assumed in your GMM estimation that some regressors are predetermined or even endogenous, allowing for dynamic feedback from the dependent variable, then IRFs in principle should take such feedback into account. However, this feedback is not explicitly modeled.

I would recommend to have a look into the pvar command, which has a pvarirf postestimation command:

• Abrigo, M. R. M., and I. Love (2016). Estimation of panel vector autoregression in Stata. Stata Journal 16 (3), 778-804.