Disabled the possibility lags_exog = 0 for functions lp_lin(), lp_nl(), lp_lin_iv() and lp_nl_iv(). Solely contemp_data should be used for exogenous data with contemporaneous impact.
Updated documentation for functions lp_lin(), lp_nl(), lp_lin_iv() and lp_nl_iv() regardings exog_data and lags_exog.
Added the options cumul_mult = FALSE/TRUE for the functions lp_lin_iv and lp_nl_iv. The default is FALSE.
Updated CITATION to use the paper by Adämmer (2019) published in The R Journal.
Updated documentation.
Fixed tests and deprecated functions to be compatible with new dplyr 1.0.0.
Fixed an issue to correctly show summary statistics
Resolved an integer/double issue with an Rcpp function so that the package can also be installed on Oracle Solaris.
Added an option to show how many lags were chosen when an information criterion has been used.
New S3 methods for all main functions to use summary() and plot()
More flexible options for the HAC estimators, such as pre-whitening, sample size adjustment, etc.
New vignette
Updated documentation
Fixed a bug for lp_lin_panel() and lp_nl_panel() regarding the construction of the
endogenous and exogenous variables.
Fixed a bug for lp_nl_panel() when using the switching variable.
Fixed a bug for lp_lin_panel() and lp_nl_panel() when a pooling model is specified.
New checks for lp_lin_panel() and lp_nl_panel() to see whether shock variable has been dropped during estimation,
potentially because of co-linearity or identification issues.
lp_nl_panel() now returns the (transformed) switching variable as a tibble along with the original data
for comparabaility.
Updated documentation.
Updated examples.
Added two functions to estimate linear and nonlinear irfs for panel data.
Added an option to choose whether to use lagged values of the switching variable in nonlinear models.
Added an option to use a dummy approach for the nonlinear models.
Deleted messages about how models are estimated (e.g. with or without exogenous data).
Changed input name in lp_lin_iv() for consistency:
function | old input name | new input name
:--------|:------------- |:-------------
lp_lin_iv() | twosls | use_twosls
Included an option to conduct 2SLS with lp_lin_iv().
Included an option to set the lag length of the endogenous variables in lp_lin_iv() and lp_nl_iv() to zero.
Deleted the deprecated plot functions plot_lin_irfs() and plot_nl_irfs().
Improved documentation.
Changed input names in lp_lin_iv() and lp_nl_iv() for consistency:
function | old input name | new input name
:--------|:------------- |:-------------
lp_lin_iv() | instr | shock
lp_nl_iv() | instr | shock
Fixed an error in lp_nl() when lags are chosen by a lag length criterion.
Version 0.1.1 chooses lags based on linear instead of
nonlinear data.
Removed the dependency on the vars package.
lp_lin() and lp_nl() now allow to include exogenous variables and exogenous variables
with contemporaneous impact.
plot_lin_irfs() and plot_nl_irfs() are deprecated and have been
replaced by plot_lin() and plot_nl().
Two new functions named lp_lin_iv() and lp_nl_iv() allow to estimate
linear and nonlinear impulse responses with identified shocks (instrument variables).
Input names in lp_lin() and lp_nl() have been changed for consistency:
function | old input name | new input name
:--------|:------------- |:-------------
lp_lin() | lags_lin | lags_endog_lin
lp_nl() | lags_lin | lags_endog_lin
lp_nl() | lags_nl | lags_endog_nl
lp_nl() | hp_filter | use_hp
The dependency on the mFilter package is removed. hp_filter() is now written in C++ to improve efficiency.
A problem with a C++ function is resolved so that the package can also be installed on Oracle Solaris.
Renamed functions:
original name | new name |
:--------|:-------------
lm_function | get_resids_ols
reduced_var | get_mat_chol
find_lag_c | get_vals_lagcrit
newey_west_c | newey_west
switching_series | get_vals_switching