Package index • hetiv

Estimation

Estimate impulse response functions via IV local projections

hetiv(): Estimate impulse responses via heteroskedasticity-based IV local projections
proxyiv(): Estimate impulse responses via proxy-IV local projections

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 a single estimation approach
plot2irf(): Plot and compare impulse responses from two estimation approaches
plotpval(): Plot p-values across horizons

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