The R Journal: article published in 2019, volume 11:2

lpirfs: An R Package to Estimate Impulse Response Functions by Local Projections
Philipp Adämmer , The R Journal (2019) 11:2, pages 421-438.

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.

Received: 2019-07-01; online 2019-12-27, supplementary material, (2.7 KiB)
CRAN packages: vars, lpirfs, Rcpp, plm
CRAN Task Views implied by cited CRAN packages: Econometrics, Finance, HighPerformanceComputing, NumericalMathematics, SpatioTemporal, TimeSeries

This article and supplementary materials are licensed under a Creative Commons Attribution 4.0 International license.

@article{RJ-2019-052,
  author = {Philipp Adämmer},
  title = {{lpirfs: An R Package to Estimate Impulse Response Functions
          by Local Projections}},
  year = {2019},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2019-052},
  url = {https://doi.org/10.32614/RJ-2019-052},
  pages = {421--438},
  volume = {11},
  number = {2}
}