knitr::opts_chunk$set( collapse = TRUE, comment = "#>", fig.path = "README-" )
library(devtools) install_github("ChandlerLutz/VARfunctions")
library(VARfunctions)
Load the data directly from the package
data(us.macro.data) #Industrial Production, CPI less food and energy, #and the Fed funds rate downloaded from the FRED #(see below for how the data was downloaed) head(us.macro.data)
The data is an xts object
is.xts(us.macro.data)
The lp_irf()
function returns the local projection impulse response
of Jorda (2005) for forecast horizon h
and max.lags
max lags
lp_irf(us.macro.data, h = 1, max.lags = 14)
The functions returns the IRFs for each variable following a reduced
form disturbance in every other variable. Reading the bottom row for
FEDFUNDS.1
, we can see that a 1 unit (1 percentage point increase)
in the fed funds rate is associated with a 0.016 percent increase in
industrial production, a 0.025 percent increase in the inflation rate,
a -0.0077 percentage point decline in the unemployment rate, and a 1.3
percentage point increase in the fed funds rate the next month.
LP.irfs.out <- lapply(1:12, function(h) { lp_irf(y = us.macro.data, h = h, max.lags = 14) }) LP.irfs.out <- do.call("rbind", LP.irfs.out) head(LP.irfs.out)
LP.irfs.out[grepl("FEDFUNDS", rownames(LP.irfs.out)), ]
The following code shows how to download the package data
#Load packages library(quantmod) #Time Series that we want to download #Note: ORDER MATTERS for structural identification #Industrial Production, CPI less food and energy, #and the Fed funds rate ts <- c("INDPRO", "CPILFESL", "UNRATE", "FEDFUNDS") getSymbols(ts, src="FRED") #Log first difference of industrial production INDPRO <- na.omit(diff(log(INDPRO)) * 100) #Log first difference of CPI CPILFESL <- na.omit(diff(log(CPILFESL)) * 100) #Merge all of the time series us.macro.data <- INDPRO for (i in 2:length(ts)) us.macro.data <- na.omit(merge(us.macro.data, get(ts[i]))) us.macro.data <- us.macro.data["/2008-01-01"] ##Up to 2008-01-01
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.