get_std_err

Compute standard errors by standard OLS or Newey and West (1987).

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_std_err function

<dl><dt>yy</dt>
<dd>A matrix with all endogenous variables.</dd>
<dt>xx</dt>
<dd>A matrix with lagged endogenous variables.</dd>
<dt>lag_nw</dt>
<dd>Integer. Number of lags for Newey and West</dd>
<dt>k</dt>
<dd>Integer. Value of column to choose from</dd>
<dt>specs</dt>
<dd>A list with specifications from lp_lin or lp_nl.</dd></dl>

Arguments

Author

Compute standard errors by standard OLS or Newey and West — get_std_err

<dl>

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


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


<dt>lag_nw</dt>
<dd>Integer. Number of lags for Newey and West</dd>


<dt>k</dt>
<dd>Integer. Value of column to choose from</dd>


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

</dl>

get_std_err: Compute standard errors by standard OLS or Newey and West

Description

Usage

Value

Arguments

Author