Local Projections in Python

This package implements local projections in Python. It is based on the R package lpirfs and Jorda (2005) paper.

Installation

This package is not yet registered on PyPI. To install, clone the repository and run pip install . in the root directory.

Usage

Basic usage is a 3-step process:

• Create a LP object specifying the model you'd like to estimate
• Call the estimate method on the object to estimate impulse responses for a given horizon and shock size

• Plot the results using the plot_irfs function

  The LP constructor is where you configure your specification. You can specify endogenous variables/controls with varying lag lengths, response variables, exogenous/identified shocks, interaction terms, trends. If you pass in a panel dataset, a panel LP will be estimated.

  See the documentation for LP, estimate, and plot_irfs for more details.