This repository contains files to implement panel local projection estimation and inference.

Reference: Almuzara Martin and Victor Sancibrian, 2024: “Micro Responses to Macro Shocks.” FRBNY Staff Report, no. 1090.

The matlab_package directory contains Matlab code:

• The main function is LP_panel.m
• It produces panel local projection estimates, standard errors, confidence intervals and p-values for zero response tests.
• It can accommodate controls, different types of fixed effects, cumulative impules responses, etc.
• It also implements the small-sample refinements suggested in the paper.
• The file usage_example.m illustrates how to use it.

The replication directory contains files to replicate the simulation study of Section 4 and the empirical analysis of Section 5.