tidyMacro: A Fast, Tidy Toolkit for Applied Macroeconometrics in R
Ongoing Work
SVARs
Local Projections
R
C++
This is a preliminary draft; comments are welcome.
See Package Website
Abstract
tidyMacro is an R package for estimating and identifying macro shocks using SVARs and Local Projections in empirical macroeconomics. It brings recursive, long-run, external-instrument, maximum-share, heteroskedasticity-based, and sign-restriction identification into one inter- face, together with bootstrap inference, forecast error variance decompositions, historical decompositions, and local projections. The package moves repeated linear algebra and bootstrap computations to C++ through RcppArmadillo, while exposing ordinary R objects for inspection, plotting, and extension. Many datasets reproduce canonical applications from the macroeconometric literature.