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lpirfs

Local Projections Impulse Response Functions

Provides functions to estimate and plot linear as well as nonlinear impulse responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>.

Functions (44)

ag_data

Data to estimate fiscal multipliers

create_lags

Compute a data frame with lagged exogenous variables

create_lin_data

Compute data for linear model

create_nl_data

Compute data for nonlinear model with instrument variable approach

create_panel_data

Prepare data sets for linear and nonlinear panel model

get_mat_chol

Compute structural shock matrix via Cholesky decomposition

get_resids_ols

Compute residuals from OLS model

get_robust_cov_panel

Function to get robust covariance matrix for panel data

get_robust_vcxt_panel

Create and returns a function to estimate hc and clustered standard errors for panel data.

get_std_err

Compute standard errors by standard OLS or Newey and West

get_std_err_tsls

Compute standard errors for 2SLS

get_vals_lagcrit

Compute values for lag length criteria

get_vals_switching

Compute values of transition function to separate regimes

get_var_lagcrit

Computes AICc, AIC and BIC for VAR

hp_filter

Decompose a times series via the Hodrick-Prescott filter

interest_rules_var_data

Data to estimate the effects of interest rate rules for monetary policy

lp_lin

Compute linear impulse responses

lp_lin_iv

Compute linear impulse responses with identified shock and/or with 2SLS

lp_lin_panel

Compute linear impulse responses with local projections for panel data

lp_nl

Compute nonlinear impulse responses

lp_nl_iv

Compute nonlinear impulse responses with identified shock

lp_nl_panel

Compute nonlinear impulse responses for panel data

lpirfs-package

Local Projection Impulse Response Functions

lpirfs_obj-methods-base

Base methods for lpirfs_obj objects

monetary_var_data

Data to estimate a standard monetary VAR

newey_west

Compute OLS parameters and robust standard errors based on Newey-West estimator

newey_west_pw

Compute Newey-West estimator with prewhitened estimation functions

newey_west_tsls

Compute 2SLS parameters and robust standard errors based on Newey-West

ols_diagnost

Compute diagnostics for OLS models

plot.lpirfs_lin_iv_obj

Base print() function to plot all impulse responses from linear lpirfs object

plot.lpirfs_lin_obj

Base print() function to plot all impulse responses from linear lpirfs object

plot.lpirfs_lin_panel_obj

Base print() function to plot all impulse responses from linear lpirfs object

plot.lpirfs_nl_iv_obj

Base print() function to plot all impulse responses from linear lpirfs object

plot.lpirfs_nl_obj

Base print() function to plot all impulse responses from nonlinear lpirfs object

plot.lpirfs_nl_panel_obj

Base print() function to plot all impulse responses from linear lpirfs object

plot_lin

Compute and display plots of linear impulse responses

plot_nl

Compute and display plots of nonlinear impulse responses

summary.lpirfs_lin_iv_obj