Code and data for "A method for smoothing Impulse Response Functions for discrete-time linear models"
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smoothirf.tex

README.md

smooth_irf overview

This repository contains the code and data for the working paper A method for smoothing the Impulse Response Functions of discrete-time linear models by Gray Calhoun. If you have trouble reproducing the paper's analysis, please contact Gray Calhoun: gcalhoun@iastate.edu. A pdf of the latest version of the paper should be available at http://gray.clhn.org and you can find the latest version of this directory at https://github.com/grayclhn/smooth_irf.

Some details:

  • JEL codes: C32, E52
  • Keywords: Vector Autoregression, multivariate time series, policy shocks
  • The project is at version 0.3.

Main files

  • smoothirf.tex is the LaTeX source for the paper itself.
  • The R directory contains the R code used to generate graphs

Generating the pdf file and dependencies

To make the paper, you need R and LaTeX. You can run each of the files in R from the main project directory, which will generate the right pdf graphs in the ./graphs subdirectory, then run pdflatex and bibtex on smoothirf.tex. You may need to install some R and LaTeX packages first.

If you install GNU Make and latexmk, you can streamline the process by typing make in this directory, which will call all of the necessary commands in the right order.

License and copying

Copyright (c) 2015, Gray Calhoun.

All of the R code for this project is licensed under the MIT "Expat" License:

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

Errors and contact information

Please let me know if you find errors. You can email gcalhoun@iastate.edu or file an issue at https://github.com/grayclhn/smooth_irf/issues. Thanks!