This package implements local projections in Python. It is based on the R package lpirfs and Jorda (2005) paper.
This package is not yet registered on PyPI. To install, clone the repository and run pip install . in the root directory.
Basic usage is a 3-step process:
- Create a
LPobject specifying the model you'd like to estimate - Call the
estimatemethod on the object to estimate impulse responses for a given horizon and shock size - Plot the results using the
plot_irfsfunction
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.