Regression

[Quickuser]

Dr. Adämmer,

When using your package, with an identified shock, I have the following equation: (lp_lin_iv())

Which one corresponds to the vector of control variables (without h-horizon)? Contemp_data or exog_data? what form do they individually take in the regression structure?

Thank you.

[AdaemmerP]

Thanks for your interest in the package!

Both correspond to exogenous data. The difference is that "contemp_data" is exogenous data with contemporaneous impact and "exog_data" is exogenous data with lagged impact. The number of lags for "exog_data" has to be given in "lags_exog".

[Quickuser]

Dr. Adämmer,

Contemp_data will be X (t+h)? or just X (t), like the regression above?

And what form would exog_data take? (assuming no lags imposed) I've got confused.

Thanks you.

[AdaemmerP]

The impact of "contemp_data" will be at X(t).

[Quickuser]

Dr. Adämmer,

So in this case, contemp_data takes the form of X(t) in the regression (so no H subscript), which does not change through the horizons. Can you confirm this?

Thanks.

[AdaemmerP]

Correct.

[Quickuser]

Thank you. One last question, when we add endog_lags, they also do not have H subscript, right?

Thanks.

[AdaemmerP]

No, they do not.

[Quickuser]

Thank you so much.