# NOT RUN {
# This example replicates results from the Supplementary Appendix
# by Ramey and Zubairy (2018) (RZ-18).
# Load and prepare data
ag_data <- ag_data
sample_start <- 7
sample_end <- dim(ag_data)[1]
endog_data <- ag_data[sample_start:sample_end, 3:5]
# The shock is estimated by RZ-18
shock <- ag_data[sample_start:sample_end, 7]
# Include four lags of the 7-quarter moving average growth rate of GDP
# as exogenous variables (see RZ-18)
exog_data <- ag_data[sample_start:sample_end, 6]
# Use the 7-quarter moving average growth rate of GDP as switching variable
# and adjust it to have suffiently long recession periods.
switching_variable <- ag_data$GDP_MA[sample_start:sample_end] - 0.8
# Estimate local projections
results_nl_iv <- lp_nl_iv(endog_data,
lags_endog_nl = 3,
shock = shock,
exog_data = exog_data,
lags_exog = 4,
trend = 0,
confint = 1.96,
hor = 20,
switching = switching_variable,
use_hp = FALSE,
gamma = 3)
# Show all impulse responses
plot(results_nl_iv)
# Make and save individual plots
plots_nl_iv <- plot_nl(results_nl_iv)
# Show single impulse responses
# Compare with red line of left plot (lower panel) in Figure 12 in Supplementary Appendix of RZ-18.
plot(plots_nl_iv$gg_s1[[1]])
# Compare with blue line of left plot (lower panel) in Figure 12 in Supplementary Appendix of RZ-18.
plot(plots_nl_iv$gg_s2[[1]])
# Show diagnostics. The first element shows the reaction of the first endogenous variable.
summary(results_nl_iv)
# }
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