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README.md

lpirfs CRAN Version

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About

An R-package which estimates linear and nonlinear impulse responses with local projections by Jordà (2005).

Main features

  • Estimates linear and nonlinear impulse responses with local projections.
  • Estimates linear impulse responses with identified shock and/or with 2SLS.
  • Functions to plot linear and nonlinear impulse responses.
  • Functions are partly implemented in Rcpp and RcppArmadillo to improve efficiency.
  • High performance with parallel computation.

Installation

You can install the released version of lpirfs from CRAN:

install.packages("lpirfs")

You can install the development version of lpirfs from GitHub:

# install.packages("devtools")
devtools::install_github("AdaemmerP/lpirfs")

The package compiles some C++ source code for installation, which is why you need the appropriate compilers:

On Windows you need Rtools available from CRAN.

On macOS you need the Clang 6.x compiler and the GNU Fortran compiler from macOS tools. Having installed the compilers, you need to open a terminal and start R via ‘PATH=/usr/local/clang6/bin:$PATH R’. Yo can then install the package via devtools::install_github(“AdaemmerP/lpirfs”)

How to use

Examples can be found here.

Acknowledgements

I am thankful to Òscar Jordà for encouraging comments and helpful suggestions. I am also indebted to Sarah Zubairy for providing the Matlab code before the publication of their paper.

I greatly benefit from the profound R, Rcpp and GitHub knowledge of Philipp Wittenberg and Detlef (overflow) Steuer. Last but not least, I am grateful to Philipp Dybowski for his comments and without whom I would have never started this project.

All remaining errors are obviously mine.

Development

The development version contains two new functions to estimate linear and nonlinear local projections for panel data.

Author

Philipp Adämmer

License

GPL (>= 2)