Package index

Estimation

Estimate impulse response functions via IV local projections or a proxy SVAR

hetiv()

Estimate impulse responses via heteroskedasticity-based IV local projections

proxyiv()

Estimate impulse responses via proxy-IV local projections

recols()

Estimate impulse responses via recursive (Cholesky) local projections

svariv()

Estimate impulse responses via a proxy SVAR (SVAR-IV)

Weak instrument test

Test for weak instruments (Lewis-Mertens 2025)

gweakivtest()

Generalised weak instrument test

Shock extraction and IRF computation

kfpredict()

Extract monetary policy shocks via Kalman filter

computeirf()

Compute impulse response functions for a VAR(P)

Plotting

plotirf()

Plot impulse responses from one or several estimation approaches

plot2irf()

Plot and compare impulse responses from two estimation approaches

plotpval()

Plot p-values across horizons

arrangeirf()

Arrange impulse response plots into one figure per shock

Simulation

simulatedata()

Simulate VAR data with heteroskedastic shocks and given parameters

Utilities

normalize()

Normalize a time series

logdiff()

Log-difference transformation

firstdiff()

First-difference transformation

filllinear()

Linearly interpolate gaps in a data frame