Local Projections Impulse Response Functions
Compute a data frame with lagged exogenous variables
Compute data for linear model
Compute data for nonlinear model with instrument variable approach
Prepare data sets for linear and nonlinear panel model
Compute structural shock matrix via Cholesky decomposition
Compute residuals from OLS model
Function to get robust covariance matrix for panel data
Create and returns a function to estimate hc and clustered standard er...
Compute standard errors by standard OLS or Newey and West
Compute standard errors for 2SLS
Compute values for lag length criteria
Compute values of transition function to separate regimes
Computes AICc, AIC and BIC for VAR
Decompose a times series via the Hodrick-Prescott filter
Compute linear impulse responses
Compute linear impulse responses with identified shock and/or with 2SL...
Compute linear impulse responses with local projections for panel data
Compute nonlinear impulse responses
Compute nonlinear impulse responses with identified shock
Compute nonlinear impulse responses for panel data
Local Projection Impulse Response Functions
Base methods for lpirfs_obj objects
Compute OLS parameters and robust standard errors based on Newey-West ...
Compute Newey-West estimator with prewhitened estimation functions
Compute 2SLS parameters and robust standard errors based on Newey-West
Compute diagnostics for OLS models
Base print() function to plot all impulse responses from linear lpirfs...
Base print() function to plot all impulse responses from linear lpirfs...
Base print() function to plot all impulse responses from linear lpirfs...
Base print() function to plot all impulse responses from linear lpirfs...
Base print() function to plot all impulse responses from nonlinear lpi...
Base print() function to plot all impulse responses from linear lpirfs...
Compute and display plots of linear impulse responses
Compute and display plots of nonlinear impulse responses
Summary for nonlinear lpirfs object
Summary for linear lpirfs object
Summary for nonlinear lpirfs object
Summary for nonlinear lpirfs object
Summary for nonlinear lpirfs object
Summary for nonlinear lpirfs object
Compute VAR to prewhite estimating functions for Newey West estimator.
Provides functions to estimate and visualize linear as well as nonlinear impulse responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>. The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.