lpirfs

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.
• Functions to plot linear and nonlinear impulse responses.
• Functions are partly implemented in Rcpp and RcppArmadillo to improve efficiency.
• High performance with parallel computation.

Examples

Examples can be found here.

Installation

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")

Acknowledgements

I greatly benefit from the profound R, Rcpp and GitHub knowledge of Philipp Wittenberg and Detlef (overflow) Steuer. Remaining errors are obviously mine.

Development

I intend to extend the package with functions that

• allow to manually identify the linear combinations of the reduced form residuals,
• allow to include exogenous variables,
• conduct IV-lp estimation,
• conduct panel-lp estimation.

Author

Philipp Adämmer

License

GPL (>= 2)