Statistics, Department of
The R Journal
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Date of this Version
12-2019
Document Type
Article
Citation
The R Journal (December 2019) 11(2); Editor: Michael J. Kane
Abstract
Impulse response analysis is a cornerstone in applied (macro-)econometrics. Estimating impulse response functions using local projections (LPs) has become an appealing alternative to the traditional structural vector autoregressive (SVAR) approach. Despite its growing popularity and applications, however, no R package yet exists that makes this method available. In this paper, I introduce lpirfs, a fast and flexible R package that provides a broad framework to compute and visualize impulse response functions using LPs for a variety of data sets.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2019, The R Foundation. Open access material. License: CC BY 4.0 International