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.
Supplementary materials are available in addition to this article. It can be downloaded at RJ-2019-052.zip
Econometrics, Finance, HighPerformanceComputing, NumericalMathematics, SpatioTemporal, TimeSeries
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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} }