Local Projections Impulse Response Functions


Licenses
CNRI-Python-GPL-Compatible/CNRI-Python-GPL-Compatible

Documentation

lpirfs CRAN Version

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About

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

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("AdaemmerP/lpirfs")

The package compiles some C++ source code for installation, which is why you need the appropriate compilers:

On Windows you need Rtools available from CRAN.

On macOS you need the Clang 6.x compiler and the GNU Fortran compiler from macOS tools. Having installed the compilers, you need to open a terminal and start R via ‘PATH=/usr/local/clang6/bin:$PATH R’. Yo can then install the package via devtools::install_github(“AdaemmerP/lpirfs”)

How to use

Examples 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)