lpirfs: An R Package to Estimate Impulse Response Functions by Local Projections

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.

Philipp Adämmer
2019-12-27

Supplementary materials

Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-052.zip

CRAN packages used

vars, lpirfs, Rcpp, plm

CRAN Task Views implied by cited packages

Econometrics, Finance, HighPerformanceComputing, NumericalMathematics, SpatioTemporal, TimeSeries

Reuse

Text and figures are licensed under Creative Commons Attribution CC BY 4.0. The figures that have been reused from other sources don't fall under this license and can be recognized by a note in their caption: "Figure from ...".

Citation

For attribution, please cite this work as

Adämmer, "lpirfs: An R Package to Estimate Impulse Response Functions by Local Projections", The R Journal, 2019

BibTeX citation

@article{RJ-2019-052,
  author = {Adämmer, Philipp},
  title = {lpirfs: An R Package to Estimate Impulse Response Functions by Local Projections},
  journal = {The R Journal},
  year = {2019},
  note = {https://doi.org/10.32614/RJ-2019-052},
  doi = {10.32614/RJ-2019-052},
  volume = {11},
  issue = {2},
  issn = {2073-4859},
  pages = {421-438}
}