lpirfs: An R Package to Estimate Impulse Response Functions by Local Projections

Abstract

Impulse response analysis is a cornerstone in applied (macro-)econometrics. Estimating impulse response functions using local projections (LPs) has become an appealing alternative to the traditional structural vector autoregressive (SVAR) approach. Despite its growing popularity and applications, however, no R package yet exists that makes this method available. In this paper, I introduce lpirfs, a fast and flexible R package that provides a broad framework to compute and visualize impulse response functions using LPs for a variety of data sets.

Keywords: R, Local Projections, VARs