An R-package which estimates linear and nonlinear impulse responses with local projections by Jordà (2005).
- 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.
You can install the released version of lpirfs from CRAN:
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.
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.
The development version contains two new functions to estimate linear and nonlinear local projections for panel data.
GPL (>= 2)