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
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 ...".
For attribution, please cite this work as
Adämmer, "The R Journal: 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 = {The R Journal: 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}
}