This repository contains code to estimate impulse response functions using local projections à la Jordà (2005).
The file local_projections.py contains the class to use and the notebook example.ipynb provides an illustration of how to use the code.
Jordà, O. (2005). ``Estimation and Inference of Impulse Responses by Local Projections''. American Economic Review. 95(1). pp. 161-182.