lreff

A Stata command to compute long-run effects after estimating a dynamic model.

Description

lreff computes the long-run effect for each variable specified after estimating a dynamic model using Stata's time series operators (e.g., L.). The command assumes that an autoregressive distributed lag (ARDL) model is estimated. To compute the long-run effect after estimating an error-correction model (ECM), the user should specify the ecm option. Standard errors are estimated using the delta method by collecting the coefficients and passing them to Stata's nlcom command.

Syntax

 lreff varlist(min=1) [, ecm]

Options

ecm specifies that an ECM is estimated.

Compatibility

lreff can be used when the most recent estimated model is a dynamic model that uses Stata's time series operators (e.g., L.). In terms of panel data, it only works with homogeneous panel estimators. The estimates are incorrect after mean group estimation.

lreff is confirmed to work with the following programs:

• reg
• xtreg, fe
• xtabond
• xtdpd
• xtdpdsys
• xtdpdbc
• xtdpdgmm
• xtdpdml¹
• xtdpdqml
• xtivreg
• xtivdfreg (pooled coefficients only)
• xtdcce2 (pooled coefficients only)

Examples

lreff works after time series and panel commands. The examples below are based on a U.S. state-level dataset found here.

xtreg ARDL(1,1) example:

 xtreg L(0/1).(lnff lny lnpop) i.year, fe r

 lreff lny lnpop

xtreg ECM(1,1) example:

 xtreg d.lnff l.lnff d.lny l.lny d.lnpop l.lnpop i.year, fe r

 lreff lny lnpop, ecm 

reg ARDL(2,1,0) example:

 reg L(0/2).(lnff) L(0/1).(lny) lnpop if state=="Ohio"

 lreff lny lnpop

The results are stored in r(results), which can be displayed with matlist r(results).

Install

lreff can be installed by typing the following in Stata:

net install lreff, from("https://raw.githubusercontent.com/rthombs/lreff/main") replace

Author

Ryan P. Thombs
(Boston College)
Contact Me: thombs@bc.edu

Footnotes

1. The coefficients are stored by time period in e(b) after using xtdpdml and are reported as var(t) for contemporaneous coefficients and var(t-lag) for the lags. lreff computes the long-run effects using the first time period and reports the coefficients based on their names stored in e(b). The ecm option is not compatible with xtdpdml. ↩