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AdaemmerP / lpirfs

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Horizons in cumulative panel LP #16

Closed TomT-ec closed 3 years ago

TomT-ec commented 3 years ago

Hi!

First of all many thanks for the fantastic package.

I have a question about horizons which are being used for lp_lin_panel. In the reference manual (page 16) it is stated that the horizons range from 0 to H-1. However, plotting the LP using plot.lpirfs_lin_panel_obj, we obtain an impulse response that starts at 1 on the x-axis.

I wanted to double check whether the lp_lin_panel with cumul_mult = TRUE uses horizons from 0 to H-1 as stated in the reference manual or from 1 to H.

AdaemmerP commented 3 years ago

Thanks for using the package.

lpirfs follows the convention by Jordà (2005), namely that the first computed horizon equals h = 0. The x-axis for the figures is labeled from 1 to H, yet the impulse responses are computed for 0 to H-1.