I'm writing my thesis on the impact of banking crises on suicide rates using Local Projections with fixed effects. I'm trying to understand the difference between the c_exog_data and c_fd_exog_data parameters of the lp_lin_panel() function in R's "lpirfs" package and which one is better for setting my control variables.
Iryna Nepip DeepAI:s response helps? Nice to see someone using R in here!!!
The `lp_lin_panel()` function from the "lpirfs" package in R is used to estimate impulse responses in linear panel models. It takes several parameters, including `c_exog_data` and `c_fd_exog_data`, which are related to the exogenous variables in the model.
The `c_exog_data` parameter is used to provide the data for exogenous variables in levels. It is a matrix or data frame where each column represents a different exogenous variable. This parameter should contain all the exogenous variables that are considered to be shocks or impulse variables in the model.
On the other hand, the `c_fd_exog_data` parameter is used to provide the data for exogenous variables in first differences. Similar to `c_exog_data`, it is a matrix or data frame where each column represents a different exogenous variable. This parameter should contain the first differences of the exogenous variables that are considered to be shocks or impulse variables in the model.
The use of either `c_exog_data` or `c_fd_exog_data` depends on the model specification and the data available. If the model is specified in levels (i.e., exogenous variables are in levels), then `c_exog_data` should be used. If the model is specified in first differences (i.e., exogenous variables are in first differences), then `c_fd_exog_data` should be used.
In summary, `c_exog_data` is used when exogenous variables are specified in levels, while `c_fd_exog_data` is used when exogenous variables are specified in first differences.
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