The R Journal: accepted article

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lpirfs: An R package to estimate impulse response functions by local projections
Philipp Adämmer

Abstract Impulse response analysis is a cornertsone in applied (macro-)econometrics. Estimating impulse response functions by local projections (LP) has become an appealing alternative to the traditional SVAR approach, since LP impose less restrictions on the data generating process. Despite its growing popularity and applications, no R package yet existed which uses this method. In this paper, I introduce lpirfs, a fast and flexible R package that provides a broad framework to compute and visualize impulse response functions by LP for a variety of data sets.

Received: 2019-07-01; online 2019-12-27, supplementary material, (2.7 Kb)
CRAN packages: lpirfs, vars, Rcpp, plm, ggpubr, gridExtra
CRAN Task Views implied by cited CRAN packages: Econometrics, Finance, HighPerformanceComputing, NumericalMathematics, SpatioTemporal, TimeSeries

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@article{RJ-2019-052,
  author = {Philipp Adämmer},
  title = {{lpirfs: An R package to estimate impulse response functions
          by local projections}},
  year = {2019},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2019-052},
  url = {https://journal.r-project.org/archive/2019/RJ-2019-052/index.html}
}