Panel local-projection IV

The task

Task statement

Read input.csv from the current directory. Its columns are unit (unit identifier), period (calendar period), y (outcome), x (endogenous regressor), and z (excluded instrument).

Estimate y responses at h=0,1,2 using 2SLS local projections. Each origin (unit,t) must have that same unit observed at calendar t-1,t,t+1,t+2. Use this common sample for every horizon. For each h, regress y_(t+h) on endogenous x_t, y_(t-1), unit fixed effects, and origin-period fixed effects. Include an intercept and omit one category from each fixed-effect set. The only excluded instrument is z_t. All included exogenous regressors instrument themselves. Report x coefficients as lp_h0,lp_h1,lp_h2. Do not treat adjacent stored rows as adjacent calendar periods. The sample count is the number of retained origin rows.

Data

Deterministic simulated data: unit, period, y, x, z

Files

input.csv

Required output

Scored estimates: lp_h0, lp_h1, lp_h2.

Reference output

A run succeeds when every scored estimate lies within 1 percent or 0.005 of its reference value, whichever is larger. Sample sizes are not scored.