Hello Dr. Doan,
Please consider coding the estimations done in "The Role of Oil Price Shocks in Causing U.S. Recessions" by Lutz Kilian and Robert Vigfusson, Journal of Money, Credit and Banking, Vol. 49, No. 8 (December 2017) https://onlinelibrary.wiley.com/doi/abs ... jmcb.12430. Constructing IRFs from Local projections and using them for testing linearity is an attractive feature of this article.
Thanks!