get_mat_chol

Compute structural shock matrix via Cholesky decomposition with input variables
created in lp_lin or lp_nl.

internal

Provides functions to estimate and visualize linear as well as nonlinear impulse
responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>.
The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.

Philipp Adämmer

lpirfs

Local Projections Impulse Response Functions

James P. LeSage

Mehmet Balcilar

Jon Danielsson

get_mat_chol function

<dl><dt>y_lin</dt>
<dd>A matrix with all endogenous variables.</dd>
<dt>x_lin</dt>
<dd>A matrix with lagged endogenous variables.</dd>
<dt>endog_data</dt>
<dd>A <a href="/link/data.frame?package=lpirfs&version=0.2.4" data-mini-rdoc="lpirfs::data.frame">data.frame</a> with all endogenous variables.</dd>
<dt>specs</dt>
<dd>A list with specifications from lp_lin or lp_nl.</dd></dl>

Arguments

Author

Compute structural shock matrix via Cholesky decomposition — get_mat_chol

<dl>

<dt>y_lin</dt>
<dd>A matrix with all endogenous variables.</dd>


<dt>x_lin</dt>
<dd>A matrix with lagged endogenous variables.</dd>


<dt>endog_data</dt>
<dd>A <a href='https://rdrr.io/r/base/data.frame.html'>data.frame</a> with all endogenous variables.</dd>


<dt>specs</dt>
<dd>A list with specifications from lp_lin or lp_nl.</dd>

</dl>

get_mat_chol: Compute structural shock matrix via Cholesky decomposition

Description

Usage

Value

Arguments

Author