lpirfs-package: Local Projection Impulse Response Functions

Description Author(s)

Description

lpirfs provides functions to estimate and plot linear as well as nonlinear impulse responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>. Nonlinear impulse responses are estimated for two regimes which can be separated by a smooth transition function as applied in Auerbach and Gorodnichenko (2012) <doi:10.1257/pol.4.2.1>, or by a simple dummy approach.

Author(s)

Philipp Adämmer


lpirfs documentation built on March 24, 2021, 1:10 a.m.