Local Projections Impulse Response Functions

Provides functions to estimate and visualize linear as well as nonlinear impulse responses based on local projections by Jordà (2005) . The methods and the package are explained in detail in Adämmer (2019) .

lpirfs

About

An R-package which estimates linear and nonlinear impulse responses with local projections by Jordà (2005).

Citation

Please cite the paper by Adämmer (2019) when using the package.

Main features

• Estimates linear and nonlinear impulse responses with local projections.
• Estimates linear and nonlinear impulse responses with identified shock and/or with 2SLS.
• Estimates linear and nonlinear impulse responses with local projections for panel data.
• Functions to plot linear and nonlinear impulse responses.
• Functions are partly implemented in Rcpp/RcppArmadillo and partly written for parallel computation to improve efficiency.

Installation

You can install the released version of lpirfs from CRAN:

install.packages("lpirfs")

You can install the development version of lpirfs from GitHub:

# install.packages("devtools")
devtools::install_github("https://github.com/AdaemmerP/lpirfs")

As lpirfs compiles some C++ source code, you will need to have installed the appropriate compilers to build the development version.

How to use

The paper about the package can be found here. The vignette of the package can be found here.

Acknowledgements

I am thankful to Òscar Jordà for encouraging comments and helpful suggestions. I am also indebted to Sarah Zubairy for providing the Matlab code before the publication of their paper.

I greatly benefitted from the helpful remarks by Jon Danielsson and the profound R, Rcpp and GitHub knowledge of Philipp Wittenberg and Detlef (overflow) Steuer. Last but not least, I am grateful to Philipp Dybowski without whom I would have never started this project.

All remaining errors are obviously mine.

Author

Philipp Adämmer

License

GPL (>= 2)