An Introduction to tseffects: Dynamic Inferences from Time Series (with Interactions)

Soren Jordan, Garrett N. Vande Kamp, and Reshi Rajan

2026-07-15

Autoregressive distributed lag (A[R]DL) models (and their reparameterized equivalent, the Generalized Error-Correction Model [GECM]) are the workhorse models in uncovering dynamic inferences. Since the introduction of the general-to-specific modeling strategy of Hendry (1995), users have become accustomed to specifying a single-equation model with (possibly) lags of the dependent variable included alongside the independent variables (in differences or levels, as appropriate) to capture dynamic inferences. Through all of the following, we assume users are familiar with such models and their best practices, including testing for stationarity on both sides of the equation (Philips 2022), equation balance (Pickup and Kellstedt 2023), the absence of serial autocorrelation in the residuals, or testing for moving averages (Vande Kamp and Jordan 2025). ADL models are simple to estimate; this is what makes them attractive. Once these models are estimated, what is less clear is how to uncover a rich set of dynamic inferences from these models. This complication arises in three key areas.

First: despite robust work on possible dynamic quantities of interest that can be derived from dynamic regression models (see De Boef and Keele (2008)), the actual calculation of these quantities (and corresponding measures of uncertainty) remains a considerable difficulty for practitioners. Formulae are often recursive, complex, and model-dependent (i.e. on the underlying lag structure of the model), leading to complex calculations when considering quantities when considering periods other than an instantaneous effect or a long-run multiplier. Existing methods suffer from memory problems, which can cause calculations to fail (Natsiopoulos and Tzeremes 2022). While other, simulation-based methods exist to interpret A[R]DL models (as in Jordan and Philips (2018a)), these methods are not well equipped to test hypotheses of interest and make parametric assumptions.

Second: methodological approaches for time series that are integrated but not cointegrated routinely involve differencing variables one or both sides of the ADL model to ensure stationarity. Yet researchers might wish to uncover inferences about their variables in levels, even if model estimation requires them to be in differences. Some work approaches this by generalizing shock histories to allow for inferences in levels or differences (Vande Kamp, Jordan, and Rajan (2025)), but no implementation of this approach exists in software.

Third: the problem grows much more complicated when considering conditional dynamic relationships. Though recent work advances a unified modeling strategy through the use of multiplicative interactions, including cross-lags, in a general framework (see Warner, Vande Kamp, and Jordan (2026)), no similar general approach exists to visualize interactive effects. This problem is complicated by the observation that, in any dynamic interactive model, time itself is a moderator that must be accounted for (Vande Kamp, Jordan, and Rajan (2022)) in addition to the values of both variables in the interaction (well established since Brambor, Clark, and Golder (2006)).

tseffects solves these problems. Our point of departure is leveraging Box, Jenkins, and Reinsel (1994). Rather than deriving period-specific and cumulative effects for every combination of independent variables, lags, and lags of the dependent variable (as in Wilkins (2018), for instance), or simulating the unfolding effects over time (as in Jordan and Philips (2018b)), Box, Jenkins, and Reinsel propose calculating the Impulse Response Function and Step Response Function in order to understand the effect a shock history being applied to an independent variable has on a dependent variable. We implement the recursive formula proposed for these quantities of interest using symbolic programming by using the mpoly package. We then implement the generalized quantities proposed for differenced variables by Vande Kamp, Jordan, and Rajan (2025). To show how, we first re-introduce the ADL and GECM models and define typical effects calculated from these models. We then apply those effects to each of the unique problems outlined above.

The ADL/GECM model

To help ensure consistency in notation, we define the ADL($p$,$q$) model as follows

$$Y_{t} = \alpha_{0} + \sum_{i = 1}^{p}\alpha_{i}Y_{t-i} + \sum_{j = 0}^{q}\beta_{j}X_{t-j} + \sum_{j = 0}^{q}\gamma_{j}W_{t-j} + \sum_{k = 0}^{r}\theta_{k}\varepsilon_{t-k}$$

Similarly, we define its GECM($p-1$,$q-1$) equivalent as

$$\Delta Y_{t} = \alpha_{0} + \sum_{i = 1}^{p-1}\alpha_{i}\Delta Y_{t-i} + \theta_{0}Y_{t-1} + \sum_{j = 0}^{q-1}\beta_{j}\Delta X_{t-j} + \theta_{1}X_{t-1} + \sum_{j = 0}^{q}\gamma_{j}W_{t-j} + \sum_{k = 0}^{r}\theta_{k}\varepsilon_{t-k}$$

The two models are isomorphic: an ADL($p$,$q$) model is algebraically equivalent to a GECM($p-1$,$q-1$) model. Notice in particular the form of the GECM with a single first lag of both the dependent and independent variable in levels. (The GECM calculations provided by GDRF.gecm.plot assume this correctly specified GECM and use the variable translations between the GECM and ADL to define the coefficient in ADL terms. These translations are done by gecm.to.adl.) The model might contain other regressors, but, for unconditional dynamic models, these regressors are unimportant for understanding the dynamic effects of variable $x$. We will use these models to define and recover time-series quantities of interest from the underlying model.

A unified approach to inferences: the Generalized Dynamic Response Function

Box, Jenkins, and Reinsel (1994) define quantities of interest that result from various shock histories applied to an independent variable. We focus on two dynamic quantities of interest that result from from a particular shock history being applied to an independent variable. The first is the impulse response function (IRF), which is the effect of a one-time, one-unit increase in the independent variable on the conditional mean of the dependent variable:

$$IRF_{s} \equiv E[Y_{t+s} \mid X_t = x_t + 1, x_{t+1:t+s}]-E[Y_{t+s} \mid X_{t:t+s},Z]= \beta_{s} + \sum_{i=1}^{s}\alpha_{i}IRF_{s-i}$$

Where $s$ is the number of time periods since a shock was applied. The second is the step response function (SRF), which is the effect of a permanent, one-unit increase in the independent variable on the conditional mean of the dependent variable. This quantity is also referred to as a cumulative impulse response function in the time series literature.

$$SRF_{s} \equiv E[Y_{t+s} \mid X_{t:t+s} = x_{t:t+s} + 1_{0:s},Z] - E[Y_{t+s} \mid X_{t:t+s} = x_{t:t+s},Z] = \sum_{k=0}^{s}IRF_{k} = IRF_{s} + SRF_{s-1}$$

The ADL model is well established, and traditional quantities of interest are well known. The IRF and SRF are often estimated from an ADL including a dependent variable in levels or differences, an independent variable in levels or differences, or a mix of both. Yet scholars might want to make inferences regarding the dependent variable in levels regardless of its order of differencing in the ADL model. Similarly, an ADL model may include an independent variable in either levels or differences, but a scholar might want to uncover the effects of a shock history applied to an independent variable in levels even if that independent variable is entered into the ADL in differences. Regular ADL formulae cannot deliver on this expectation. To resolve this deficiency, Vande Kamp, Jordan, and Rajan (2025) introduce the General Dynamic Response Function (GDRF)

$$\text{GDRF}_{s,h,d.y,d.x} \equiv E[\Delta^{d.y}Y_{t+s}|\Delta^{d.x}X_{t:t+s}=\Delta^{d.x}x_{t:t+s}+c_{0:s,h},Z] -E[\Delta^{d.y}Y_{t+s}|\Delta^{d.x}X_{t:t+s}=\Delta^{d.x}x_{t:t+s}, Z]$$ with the following elements:

• $d.y$: the number of times the dependent variable is differenced before determining the effect of the shock on the dependent variable. In other words, in the underlying model time series model, was the dependent variable first-differenced prior to estimation? If so, $d.y = 1$. If it is in levels, $d.y = 0$
• $d.x$: the number of times the independent variable is differenced before a shock is applied to it
• $s$: the number of time periods since a shock was applied (same as above)

$h$ deserves special explanation. Vande Kamp, Jordan, and Rajan (Vande Kamp et al. 2025) demonstrate how the binomial function can be used to represent traditional and beyond-traditional shock histories typically examined in time series

• $h = 1$: Shock sequence $(1,2,3,4,\dots)$; Linear Trend Coefficient of $X$
• $h = 0$: Shock sequence $(1,1,1,1,\dots)$; Permanent One-Unit Increase (Step)
• $h = -1$: Shock sequence $(1,0,0,0,\dots)$ One-Time, One-Unit Increase (Impulse)

The second virtue of the binomial coefficient is that it translates between variables in levels and in differences. (Vande Kamp et al. 2025) demonstrate that an arbitrary shock history for a variable in levels is equivalent to another counterfactual shock history to that same variable after differencing, simply adjusting the parameter $h$:

$$\text{GDRF}_{s,h, 0, 0} = \text{GDRF}_{s,h-d.y+d.x, d.y, d.x}$$

So the GDRF “translates” these popular shock histories to recover inferences in the desired form (including levels) of the independent and dependent variables, regardless of their modeled level of differencing, given the specified shock history. All scholars need to do is estimate the ADL model and choose a shock. The virtue of the GDRF is that it automatically does this translation for you; the virtue of tseffects is that this translation is in software.

Computationally, the benefit of tseffects is that it applies these formulae symbolically. Rather than performing many recursive calculations as effects extend into future time periods, a symbolic representation of those formulae are built (using mpoly: (Kahle 2013)) that only need to be evaluated once using the model’s coefficients and a variance-covariance matrix selected from the sandwich package. We can also peek “under the hood” at these formulae, perhaps as a teaching aid, to observe the GDRF in different periods, based on the model specified.

Two subfunctions: pulse.calculator and general.calculator

While it is unlikely that users will want to interact with these functions, they might be useful either for teaching or for developing a better understanding of the GDRF. Despite their names, neither function actually does any “calculation”; rather, they return an mpoly class of the formula that would be evaluated.

The first is pulse.calculator. Like its name implies, this provides the formula for the IRF for time period $s = 0$ up to some limit. It returns a list of formulae, each one the IRF for the relevant period. (Time series scholars might refer to these as the period-specific effects.) It constructs these formulae given a named vector of the relevant $x$ variables (passed to x.vrbl) and their corresponding lag orders, as well as the same for $y$ (passed to y.vrbl), if given. Though most ADLs include a lagged dependent variable to allow for flexible dynamics, it is entirely possible that a finite dynamic model is more appropriate: in this case, y.vrbl would be NULL.

Imagine a simple finite dynamic model, where the $x$ variables are mood, l1_mood, and l2_mood (lags need not be consecutive, though in a well-specified ADL they likely are). pulse.calculator would look like

library(tseffects)
ADL.finite <- pulse.calculator(x.vrbl = c("mood" = 0, "l1_mood" = 1, "l2_mood" = 2), 
               y.vrbl = NULL,
               limit = 5)

This list is six elements long: including the pulses for each period from 0 to 5. These will naturally be more complex if there are more sophisticated dynamics through a lagged dependent variable. For instance, if you estimate an ADL(1,2), where the $x$ variables are mood, l1_mood, and l2_mood and the dependent variable is policy (with its first lag l1_policy).

ADL1.2.pulses <- pulse.calculator(x.vrbl = c("mood" = 0, "l1_mood" = 1, "l2_mood" = 2), 
               y.vrbl = c("l1_policy" = 1),
               limit = 5)

These pulses form the basis of the GDRF, given the order of differencing of $x$ and $y$ and the specified shock history $h$. To create the formulae for the GDRF, general.calculator requires five arguments, most of which are defined above: d.x and d.y (defined with respect to the GDRF), h (the shock history applied), limit, and pulses. The novel argument, pulses, is the list of IRFs for each period in which a GDRF is desired.

Assume the same ADL(1,2) from above. To recover the formulae for a GDRF of a pulse shock, assuming that both mood and policy are in levels (such that both d.x and d.y are 0), we would run

general.calculator(d.x = 0, d.y = 0, h = -1, limit = 5, pulses = ADL1.2.pulses)
#> $formulae
#> $formulae[[1]]
#> [1] "mood "
#> 
#> $formulae[[2]]
#> [1] "l1_mood  +  l1_policy * mood "
#> 
#> $formulae[[3]]
#> [1] "l2_mood  +  l1_policy * l1_mood  +  l1_policy**2 * mood "
#> 
#> $formulae[[4]]
#> [1] "l1_policy * l2_mood  +  l1_policy**2 * l1_mood  +  l1_policy**3 * mood "
#> 
#> $formulae[[5]]
#> [1] "l1_policy**2 * l2_mood  +  l1_policy**3 * l1_mood  +  l1_policy**4 * mood "
#> 
#> $formulae[[6]]
#> [1] "l1_policy**3 * l2_mood  +  l1_policy**4 * l1_mood  +  l1_policy**5 * mood "
#> 
#> 
#> $binomials
#> $binomials[[1]]
#> [1] 1
#> 
#> $binomials[[2]]
#> [1] 1 0
#> 
#> $binomials[[3]]
#> [1] 1 0 0
#> 
#> $binomials[[4]]
#> [1] 1 0 0 0
#> 
#> $binomials[[5]]
#> [1] 1 0 0 0 0
#> 
#> $binomials[[6]]
#> [1] 1 0 0 0 0 0

(Since general.calculator is “under the hood,” h can only be specified as an integer. Later, in a more user-friendly function, we will see that shock histories can also be specified using characters.)

Recall that we might want to generalize our inferences beyond simple ADLs with both variables in levels. For exposition, assume that mood was integrated, so, to balance the ADL, it needed to be entered in differences. The user does this and enters $x$ variables as d_mood, l1_d_mood, and l2_d_mood. pulse.calculator would look like

ADL1.2.d.pulses <- pulse.calculator(x.vrbl = c("d_mood" = 0, "l1_d_mood" = 1, "l2_d_mood" = 2), 
               y.vrbl = c("l1_policy" = 1),
               limit = 5)

These pulses look identical to the ones from ADL1.2.pulses. But tseffects allows the user to recover inferences of a shock history applied to $x$ in levels, rather than its observed form of differences. All we need to do is specify the d.x order.

general.calculator(d.x = 1, d.y = 0, h = -1, limit = 5, pulses = ADL1.2.d.pulses)
#> $formulae
#> $formulae[[1]]
#> [1] "d_mood "
#> 
#> $formulae[[2]]
#> [1] "l1_d_mood  +  l1_policy * d_mood  -  d_mood "
#> 
#> $formulae[[3]]
#> [1] "l2_d_mood  +  l1_policy * l1_d_mood  +  l1_policy**2 * d_mood  -  l1_d_mood  -  l1_policy * d_mood "
#> 
#> $formulae[[4]]
#> [1] "l1_policy * l2_d_mood  +  l1_policy**2 * l1_d_mood  +  l1_policy**3 * d_mood  -  l2_d_mood  -  l1_policy * l1_d_mood  -  l1_policy**2 * d_mood "
#> 
#> $formulae[[5]]
#> [1] "l1_policy**2 * l2_d_mood  +  l1_policy**3 * l1_d_mood  +  l1_policy**4 * d_mood  -  l1_policy * l2_d_mood  -  l1_policy**2 * l1_d_mood  -  l1_policy**3 * d_mood "
#> 
#> $formulae[[6]]
#> [1] "l1_policy**3 * l2_d_mood  +  l1_policy**4 * l1_d_mood  +  l1_policy**5 * d_mood  -  l1_policy**2 * l2_d_mood  -  l1_policy**3 * l1_d_mood  -  l1_policy**4 * d_mood "
#> 
#> 
#> $binomials
#> $binomials[[1]]
#> [1] 1
#> 
#> $binomials[[2]]
#> [1]  1 -1
#> 
#> $binomials[[3]]
#> [1]  1 -1  0
#> 
#> $binomials[[4]]
#> [1]  1 -1  0  0
#> 
#> $binomials[[5]]
#> [1]  1 -1  0  0  0
#> 
#> $binomials[[6]]
#> [1]  1 -1  0  0  0  0

As Vande Kamp, Jordan, and Rajan (2025) suggest, scholars should be very thoughtful about the shock history applied. These shocks are applied to the underlying independent variable in levels. Since $x$ is integrated in this example, it might be more reasonable to imagine that the underlying levels variable is actually trending. To revise this expectation and apply a new shock history, we would run

general.calculator(d.x = 1, d.y = 0, h = 1, limit = 5, pulses = ADL1.2.d.pulses)
#> $formulae
#> $formulae[[1]]
#> [1] "d_mood "
#> 
#> $formulae[[2]]
#> [1] "l1_d_mood  +  l1_policy * d_mood  +  d_mood "
#> 
#> $formulae[[3]]
#> [1] "l2_d_mood  +  l1_policy * l1_d_mood  +  l1_policy**2 * d_mood  +  l1_d_mood  +  l1_policy * d_mood  +  d_mood "
#> 
#> $formulae[[4]]
#> [1] "l1_policy * l2_d_mood  +  l1_policy**2 * l1_d_mood  +  l1_policy**3 * d_mood  +  l2_d_mood  +  l1_policy * l1_d_mood  +  l1_policy**2 * d_mood  +  l1_d_mood  +  l1_policy * d_mood  +  d_mood "
#> 
#> $formulae[[5]]
#> [1] "l1_policy**2 * l2_d_mood  +  l1_policy**3 * l1_d_mood  +  l1_policy**4 * d_mood  +  l1_policy * l2_d_mood  +  l1_policy**2 * l1_d_mood  +  l1_policy**3 * d_mood  +  l2_d_mood  +  l1_policy * l1_d_mood  +  l1_policy**2 * d_mood  +  l1_d_mood  +  l1_policy * d_mood  +  d_mood "
#> 
#> $formulae[[6]]
#> [1] "l1_policy**3 * l2_d_mood  +  l1_policy**4 * l1_d_mood  +  l1_policy**5 * d_mood  +  l1_policy**2 * l2_d_mood  +  l1_policy**3 * l1_d_mood  +  l1_policy**4 * d_mood  +  l1_policy * l2_d_mood  +  l1_policy**2 * l1_d_mood  +  l1_policy**3 * d_mood  +  l2_d_mood  +  l1_policy * l1_d_mood  +  l1_policy**2 * d_mood  +  l1_d_mood  +  l1_policy * d_mood  +  d_mood "
#> 
#> 
#> $binomials
#> $binomials[[1]]
#> [1] 1
#> 
#> $binomials[[2]]
#> [1] 1 1
#> 
#> $binomials[[3]]
#> [1] 1 1 1
#> 
#> $binomials[[4]]
#> [1] 1 1 1 1
#> 
#> $binomials[[5]]
#> [1] 1 1 1 1 1
#> 
#> $binomials[[6]]
#> [1] 1 1 1 1 1 1

(Notice that the pulses do not change.) Recall that these are “under the hood”: we publish them so that educators in time-series courses can use them to demonstrate the period-specific effects and/or their accumulation. For practitioners who just want inferences, we expect instead that most they will interact with the full calculation and plotting functions, discussed below.

We take this opportunity to note that mpoly has a set of characters that complicate its use. Chief among these are the . character, so variables like d.mood do not work with mpoly. Unfortunately, these characters are common in time-series packages that routinely express transformed variables as l(mood, 1), or something similar. To prevent conflicts with mpoly, all of these characters are substituted for underscores, and users are “warned” about this substitution.

Effect estimation and visualization: GDRF.adl.plot and GDRF.gecm.plot

Again, we expect most users will not interact with these calculators. Instead, they will estimate an ADL model via lm and expect easy-to-use effects. (At the bottom of this vignette, we explore how to map results from other popular time-series packages to tseffects to obtain inferences.) To achieve this directly, we introduce GDRF.adl.plot. We gloss over arguments that we’ve already seen in pulse.calculator and general.calculator:

• x.vrbl: a named vector of the $x$ variable and its lag orders
• y.vrbl: a named vector of the $y$ variable and its lag orders (if a lagged dependent variable is in the model)
• d.x: the order of differencing of the independent variable before a shock is applied
• d.y: the order of differencing of the dependent variable before effects are recovered
• s.limit: the number of periods for which to calculate the effects of the shock (the default is 20)

Now, since effects will be calculated, users must also provide a model: the lm object containing the (well-specified, balanced, free of serial autocorrelation, etc.) ADL model that has the estimates. Users must also specify a shock history through shock.history. Users can continue to specify an integer that represents h (from above) or can use the phrases pulse/impulse (for $h = -1$) and step/cumulative (for $h = 0$).

Users have already indicated the order of differencing of $x$ and $y$ (through d.x and d.y): now the relevant plotting function can leverage this information and the supplied shock.history to deliver inferences about $x$ in either levels or differences through inferences.y and inferences.x. If both $x$ and $y$ are entered into the ADL in levels (so that d.x and d.y are 0), inferences.y and inferences.x default to levels. If, however, either $x$ or $y$ (or both) are entered in differences, users can recover causal effects from a shock history applied to $x$ in levels, or to a dependent variable realized in levels. However, they don’t have to. The shock can still be applied to $x$ in differences, or the effects can be realized on $y$ in differences: just change inferences.x to differences (for the former) or inferences.y to differences (for the latter).

A few options allow users to tailor levels and types of uncertainty desired. The first is the type of standard errors calculated from the model: users can specify any type of standard error accepted by vcovHC in the sandwich package: this is done by se.type = (where const is the default). Users can also specify a level of uncertainty to the delta method other than 0.95; this is done through dM.level.

Three final arguments control the output returned to the user.

• return.plot: we assume most users would like a visualization of these results and nothing else (default is TRUE)
• return.data: if the user wants the raw data (to design their own ggplot, for instance), this argument should be TRUE (default is FALSE)
• return.formulae: the formulae can be very complex, but perhaps users want to see the particular formula for the effect in some particular period $h$. If return.formulae = TRUE, these are returned as a list, along with the binomial series that represents the shock history (default is FALSE)

We’ll use the toy time series data included with the package to illustrate the function. These data are purely expository, as is the model. We do not advocate for this model.

data(toy.ts.interaction.data)

# Fit an ADL(1, 1)
model.adl <- lm(y ~ l_1_y + x + l_1_x, data = toy.ts.interaction.data)

test.pulse <- GDRF.adl.plot(model = model.adl,
                                   x.vrbl = c("x" = 0, "l_1_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   d.x = 0, 
                                   d.y = 0,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = TRUE)
  

This recovers the IRF. We can also observe the formulae and associated binomials in test.pulse$formulae and test.pulse$binomials. test.pulse$plot contains the plot: the effect of applying a pulse shock to $x$. If we wanted the step effect, we would change shock.history.

test.pulse2 <- GDRF.adl.plot(model = model.adl,
                                   x.vrbl = c("x" = 0, "l_1_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   d.x = 0, 
                                   d.y = 0,
                                   shock.history = "step", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = TRUE)
  

Equivalently, we could specify shock.history = 0 (since this is the value of $h$ that represents a step shock history).

Imagine that the $x$ variable was actually integrated, so, for balance, it was entered into the model in differences.

data(toy.ts.interaction.data)

# Fit an ADL(1, 1)
model.adl.diffs <- lm(y ~ l_1_y + d_x + l_1_d_x, data = toy.ts.interaction.data)

To observe the causal effects of a pulse shock history applied to $x$in levels, we would run

GDRF.adl.plot(model = model.adl.diffs,
                                   x.vrbl = c("d_x" = 0, "l_1_d_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   d.x = 1, 
                                   d.y = 0,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   s.limit = 20, 
                                   return.plot = TRUE)

(Notice the change in d.x and the x.vrbl). Suppose, though, that we wanted to apply this pulse to $x$in differences. We just change the form of inferences.x, leaving all other arguments the same.

GDRF.adl.plot(model = model.adl.diffs,
                                   x.vrbl = c("d_x" = 0, "l_1_d_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   d.x = 1, 
                                   d.y = 0,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "differences",
                                   s.limit = 20, 
                                   return.plot = TRUE)

The same changes could be made to inferences.y (if $y$ were modeled in differences).

We take a moment to make an important, clarifying distinction. d.x indicates the order of integration of the variable in the underlying model. So if d_x represents a variable in first differences, d.x = 1, even if the user desires the effects of a shock recovered in the levels form (this should be handled by inferences.x). The same is true of d.y.

The IRF and SRF are expressed as marginal effects: the effect of one-unit increases. However, some users would like to observe these effects as expressed in the original scale of the dependent variable. For these fitted values, we offer the argument effect.type. This takes two strings: marginal (the untransformed GDRF effects shown above) and fitted. If effect.type = "fitted", the GDRF requested will accumulate against some baseline value of $y$, specified by the user. There are four associated options:

• prediction.values: if the underlying model is an ADL, what are the values of $x$ and the other $W$ variables that should be used to calculate a baseline value of $y$? Give them as a named list
• baseline.y: alternatively, just give a numeric baseline
• baseline.y.se: if passing a numeric baseline, you can also pass uncertainty around it
• shock.size: since the GDRF is accumulating against a baseline, we can scale the GDRF by more than a one-unit increase

This approach is most sensible when imagining an ADL in levels. Return to model.adl above. This model will have a steady-state predicted value of $y$, given as

$$\bar{y}=\frac{\alpha_0+ \left(\sum_{j=0}^{q}\beta_j\right)x}{1-\sum_{i=1}^{p}\alpha_i}$$ (since there is only one predictor, $x$ and its first lag). Instead of expressing the GDRF against a baseline of 0 (i.e. the rise and fall of $y$ against a baseline of no change), we could express it as changes from the steady state:

# Fit an ADL(1, 1)
model.adl <- lm(y ~ l_1_y + x + l_1_x, data = toy.ts.interaction.data)

test.pulse <- GDRF.adl.plot(model = model.adl,
                                   x.vrbl = c("x" = 0, "l_1_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   d.x = 0, 
                                   d.y = 0,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   effect.type = "fitted",
                                   prediction.values = list("x" = mean(toy.ts.interaction.data$x, na.rm = TRUE), 
                                                            "l_1_x" = mean(toy.ts.interaction.data$x, na.rm = TRUE)),
                                   shock.size = 1,
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = TRUE)
#> Warning in GDRF.dummy.checks(effect.type, prediction.values, baseline.y, : If
#> any differenced variables are included in the model, ensure they are set to 0
#> in prediction.values for a meaningful steady-state prediction

This would show the pulse effect against the steady-state value of $y$ when $x$ is at its average. (Note that we set both x and l_1_x to mean(x, na.rm = TRUE)): we don’t have any reason to believe that the long-run average of a variable and its lag are different. Also note: if a variable were entered into this model in differences, say d_x, we would strongly caution against using any other value than d_x = 0. Otherwise, we would be assuming that $x$, the underlying variable, is always changing!) If we wanted to observe the scaled GDRF for a two-unit shock to x, we would change shock.size to 2. This approach is especially nice in the world of an ADL in levels, as we can calculate model-based error around the steady-state value, using the coefficients from the model and the steady-state formula.

The approach is possible, but less consistent, in the world of differenced dependent variables, like a random walk $I(1)$ dependent variable that was differenced prior to estimation. In that world, there is no “baseline” value of $y$, as the series is fundamentally unpredictable. We can still show the GDRF as accumulating from a particular point—the math is possible—but the baseline is completely arbitrary and has no model-based uncertainty around it (the model-based uncertainty is about the changes in $y$, not the baseline value). For this world, we can use baseline.y and baseline.y.se. The latter defaults to 0 in recognition that any baseline we set is completely user determined. We can express variation around this baseline—for instance, if $y$ typically has a wide or small variance. To do so, we would use baseline.y.se, maybe as an expression of the variation in $y$.

An example shows the point. Suppose we believe $y$ is $I(1)$ and thus think it is appropriate to difference the variable before estimation. (Again: these models are all for exposition.) If we model d_y, any GDRF will show us the effect of $x$ on changes in $y$. But it will be completely agnostic on the underlying “starting value” of $y$ from which those changes are accumulating. We can tell GDRF.adl.plot to accumulate them starting at baseline.y = 3:

# Fit a model in differences
model.differences <- lm(d_y ~ l_1_d_y + x + l_1_x, data = toy.ts.interaction.data)

GDRF.adl.plot(model = model.differences,
                                   x.vrbl = c("x" = 0, "l_1_x" = 1), 
                                   y.vrbl = c("l_1_d_y" = 1),
                                   d.x = 0, 
                                   d.y = 1,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   effect.type = "fitted",
                                   baseline.y = 3,
                                   shock.size = 1,
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = FALSE)

But note that there is no uncertainty around this initial value, and we eventually return (with certainty) to the original levels value. Users may not be accustomed to this “certainty.” To reflect the idea that the levels version of $y$ has some underlying variation, we could pass this variation through baseline.y.se. Here, we give it the standard deviation of the underlying variable in levels.

GDRF.adl.plot(model = model.differences,
                                   x.vrbl = c("x" = 0, "l_1_x" = 1), 
                                   y.vrbl = c("l_1_d_y" = 1),
                                   d.x = 0, 
                                   d.y = 1,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   effect.type = "fitted",
                                   baseline.y = 3,
                                   baseline.y.se = sd(toy.ts.interaction.data$y, na.rm = TRUE),
                                   shock.size = 1,
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = FALSE)

Two important things to note. First, this is not model-based uncertainty. In other words, the model is confident that, at some point, $y$ will stop changing since d_y will equal 0. We will, with certainty, return to the underlying baseline value given by the user. baseline.y.se just allows us to what that typically looks like in conjunction with some variation in $y$, defined by the user.

Second: when the model contains a first-differenced dependent variable, prediction.values is no longer relevant. The function will stop users from attempting it. Again: the steady-state predicted value for a model in differences is no changes (d_y = 0). There is no meaningful model-based uncertainty to use.

GDRF.gecm.plot is extremely similar. Imagine the following specified GECM model (with a first lag only of each $y$ and $x$ in levels)

# Fit a GECM(1, 1)
model.gecm <- lm(d_y ~ l_1_y + l_1_d_y + l_1_x + d_x + l_1_d_x, data = toy.ts.interaction.data)

Since both the $x$ and $y$ variables appear in levels and differences, we need to differentiate them. GDRF.gecm.plot does this by separating them into two forms

• x.vrbl: a named vector of the x variables (of the lower level of differencing, usually in levels d = 0) and corresponding lag orders in the GECM model
• y.vrbl: a named vector of the (lagged) y variables (of the lower level of differencing, usually in levels d = 0) and corresponding lag orders in the GECM model
• x.vrbl.d.x: the order of differencing of the x variable (of the lower level of differencing, usually in levels d = 0) in the GECM model
• y.vrbl.d.y: the order of differencing of the y variable (of the lower level of differencing, usually in levels d = 0) in the GECM model
• x.d.vrbl: a named vector of the x variables (of the higher level of differencing, usually first differences d = 1) and corresponding lag orders in the GECM model
• y.d.vrbl: a named vector of the y variables (of the higher level of differencing, usually first differences d = 1) and corresponding lag orders in the GECM model
• x.d.vrbl.d.x: the order of differencing of the x variable (of the higher level of differencing, usually first differences d = 1) in the GECM model
• y.d.vrbl.d.y: the order of differencing of the y variable (of the higher level of differencing, usually first differences d = 1) in the GECM model

The orders of differencing of y.vrbl and y.d.vrbl (as well as x.vrbl and x.d.vrbl) must be separated by only one order. From here, all of the other arguments are the same. (Unlike in GDRF.gecm.plot, inferences.x and inferences.y must be in levels, given the dual nature of the variables in the model.) For model.gecm, the syntax would be

gecm.pulse <- GDRF.gecm.plot(model = model.gecm,
                                   x.vrbl = c("l_1_x" = 1), 
                                   y.vrbl = c("l_1_y" = 1),
                                   x.vrbl.d.x = 0, 
                                   y.vrbl.d.y = 0,
                                   x.d.vrbl = c("d_x" = 0, "l_1_d_x" = 1),
                                   y.d.vrbl = c("l_1_d_y" = 1),
                                   x.d.vrbl.d.x = 1,
                                   y.d.vrbl.d.y = 1,
                                   shock.history = "pulse", 
                                   inferences.y = "levels", 
                                   inferences.x = "levels",
                                   s.limit = 20, 
                                   return.plot = TRUE, 
                                   return.formulae = TRUE)

Examining the formulae show that the conversion from GECM coefficients to ADL coefficients is automatic. As before, if we wanted a different shock history, we would just adjust shock.history to apply a different shock history to $x$ in levels. And, as before, the effect.type argument is available to investigate both marginal and fitted effects.

We note two final functions here. GDRF.adl.plot and GDRF.gecm.plot are built to handle arbitrary orders of differencing. Most times someone is estimating an ADL model, though, both the left- and right-hand sides of the model are in levels. Similarly, most GECMs feature first-differenced dependent variable with its lag in levels and a first-differenced independent variable with its lag in levels. (In other words, most ADLs and GECMs conform to the equations at the top of this vignette.) For users wishing to “ignore” irrelevant options and assume these functional forms, we created wrappers that follow a simpler syntax.

adl.plot only requires model, x.vrbl, and y.vrbl (should it exist). It assumes shock.history as a pulse, an s.limit of 20, normal standard errors, a confidence level of 0.95, and that users want the plot and nothing else (though these arguments can be changed). Most importantly, though, it assumes an ADL in levels on both sides (d.x = d.y = 0). Similarly, gecm.plot only requires model, x.vrbl, y.vrbl, x.d.vrbl, and y.d.vrbl (should it exist). Most importantly, it assumes a GECM(1,1) (x.vrbl.d.x = y.vrbl.d.y = 0 and x.d.vrbl.d.x = y.d.vrbl.d.y = 1).

Dynamic conditional effects: interact.adl.plot

Warner, Vande Kamp, and Jordan (Warner et al. 2026) advocate for a general model that allows for conditional dynamic relationships to unfold unrestricted over time. They demonstrate the superiority of this approach to a restricted model. It requires the estimation of a contemporaneous interaction, cross-period interactions (i.e. $x_{t-1}$ and $z_t$ and vice versa), and lagged interactions (i.e. $x_{t-1}$ and $z_{t-1}$).

$$y_t = \alpha_0 + \sum_{f=1}^p\alpha_{f}y_{t-f} + \sum_{g=0}^q \beta_{g}x_{t-g} + \sum_{h=0}^q \theta_{h}z_{t-h} + \sum_{g=0}^q\sum_{h=0}^q \zeta_{g, h}x_{t-g}z_{t-h} + \epsilon_t$$

They provide formulae for calculating effects, but no implementation of these formulae in software. Moreover, they do not explicitly recognize the conditional role of time itself ($s$, in our parlance) in moderating calculated interactive effects (see Jordan, Vande Kamp, and Rajan (2022) and Brambor, Clark, and Golder (2006)).

We resolve these deficiencies through interact.adl.plot. Many of the arguments are familiar

• model: a (well specified, etc.) ADL model, likely following the general recommendation of Warner, Vande Kamp, and Jordan (2026)
• x.vrbl: a named vector of the “main” $x$ variables and corresponding lag orders in the ADL model
• z.vrbl: a named vector of the “moderating” $z$ variables and corresponding lag orders in the ADL model
• y.vrbl: a named vector of the $y$ variable and its lag orders (if a lagged dependent variable is in the model)
• x.z.vrbl: a named vector with the interaction variables and corresponding lag orders in the ADL model

We pause to note something extremely important: x.z.vrbl should be constructed such that the lag orders reflect the lag order that pertains to the “main” $x$ variable. For instance, x_l_1_z (contemporaneous $x$ times lagged $z$) would be 0 and z_l_1_x (lagged $x$ times contemporaneous $z$) would be 1.

Four arguments pertain to how the interactive effect should be visualized (following Jordan, Vande Kamp, and Rajan (2022))

• shock.history: whether impulse or cumulative effects should be calculated. impulse generates impulse effects, or short-run/instantaneous effects specific to each period. cumulative generates the accumulated, or long-run/cumulative effects up to each period (including the long-run multiplier). We note that this language is inconsistent with Vande Kamp, Jordan, and Rajan (2025) who discuss “pulse” and “step” functions. Accordingly, all functions in tseffects accept both impulse/pulse and cumulative/step
• plot.type: whether to feature marginal effects at discrete values of $s$/$z$ as lines, or across a range of values through a heatmap
• line.options: if drawing lines, whether the moderator should be values of $z$ (z.lines) or $s$ (s.lines)
• heatmap.options: if drawing a heatmap, whether all marginal effects should be shown or just statistically significant ones. We note that this just sets the insignificant effects to the numeric value of 0. If the middle value of your scale gradient is white, these will effectively “disappear.” If another gradient is used, they will take on the color assigned to 0 values.)

Users are encouraged to experiment with many types of visualization: they all simply illustrate the underlying conditionality in the model. Aesthetics are generally presented with nice defaults, but options include

• line.colors: defaults to colorsafe Okabe-Ito colors, but any vector of colors (matching the number of lines) can be used (including a black and white graphic with bw)
• heatmap.colors: defaults to Blue-Red, but any hcl.pal is possible. We also create one for black and white graphics with Grays
• z.label.rounding: the number of digits to round $z$ to in a legend, if values are not discrete
• z.vrbl.label: the label to use for the $z$ variable in plots

A final set of controls involves the values of $z$ to calculate and plot across

• z.vals: if plot.type = lines, these are treated as discrete levels of $z$. If plot.type = heatmap, these are treated as a lower and upper level of a range of values of $z$
• s.vals: of line.options = s.lines, the values for the time since the shock. The default is 0 (short-run) and the LRM

All of these arguments have reasonable defaults. The arguments dM.level, s.limit, se.type, return.data, return.plot, and return.formulae are also available and identical to the GDRF functions.

For a final time, let’s estimate a general model (only for exposition: we are just assuming it is well behaved)

data(toy.ts.interaction.data)

# Fit an ADL(1, 1)
interact.model <- lm(y ~ l_1_y + x + l_1_x + z + l_1_z +
        x_z + z_l_1_x +
        x_l_1_z + l_1_x_l_1_z, data = toy.ts.interaction.data)

Let’s first illustrate a line type, where the moderation is shown a different values of $z$ over time. The shock history is a simple effect.type = "impulse"

interact.adl.plot(model = interact.model, x.vrbl = c("x" = 0, "l_1_x" = 1), 
                    y.vrbl = c("l_1_y" = 1), 
                    z.vrbl = c("z" = 0, "l_1_z" = 1),
                    x.z.vrbl = c("x_z" = 0, "z_l_1_x" = 1, "x_l_1_z" = 0, "l_1_x_l_1_z" = 1),
                    z.vals = -1:1,
                    effect.type = "impulse", plot.type = "lines", line.options = "z.lines",
                    s.limit = 20)

If we wanted to moderate by $s$ instead

interact.adl.plot(model = interact.model, x.vrbl = c("x" = 0, "l_1_x" = 1), 
                    y.vrbl = c("l_1_y" = 1), 
                    z.vrbl = c("z" = 0, "l_1_z" = 1),
                    x.z.vrbl = c("x_z" = 0, "z_l_1_x" = 1, "x_l_1_z" = 0, "l_1_x_l_1_z" = 1),
                    z.vals = c(-1, 1),
                    s.vals = c(0, 5),
                    effect.type = "impulse", plot.type = "lines", line.options = "s.lines",
                    s.limit = 20)

We observe two lines: the instantaneous effect at $s = 0$ and the period-specific effect at $s = 5$. If we wanted to see these as a step (cumulative), rather than a pulse, we would just change the effect.type.

interact.adl.plot(model = interact.model, x.vrbl = c("x" = 0, "l_1_x" = 1), 
                    y.vrbl = c("l_1_y" = 1), 
                    z.vrbl = c("z" = 0, "l_1_z" = 1),
                    x.z.vrbl = c("x_z" = 0, "z_l_1_x" = 1, "x_l_1_z" = 0, "l_1_x_l_1_z" = 1),
                    z.vals = c(-1, 1),
                    s.vals = c(0, 5),
                    effect.type = "step", plot.type = "lines", line.options = "s.lines",
                    s.limit = 20)

If we wanted to see the period-specific effects of $x$ across the full range of $z$, since it is continuous, the heatmap makes the most sense. Notice we omit z.vals this time to show that the function establishes reasonable defaults.

interact.adl.plot(model = interact.model, x.vrbl = c("x" = 0, "l_1_x" = 1), 
                    y.vrbl = c("l_1_y" = 1), 
                    z.vrbl = c("z" = 0, "l_1_z" = 1),
                    x.z.vrbl = c("x_z" = 0, "z_l_1_x" = 1, "x_l_1_z" = 0, "l_1_x_l_1_z" = 1),
                    effect.type = "pulse", plot.type = "heatmap", heatmap.options = "all",
                    s.limit = 20)

If we want to ignore statistically insignificant effects, we can change the heatmap.options to be significant

interact.adl.plot(model = interact.model, x.vrbl = c("x" = 0, "l_1_x" = 1), 
                    y.vrbl = c("l_1_y" = 1), 
                    z.vrbl = c("z" = 0, "l_1_z" = 1),
                    x.z.vrbl = c("x_z" = 0, "z_l_1_x" = 1, "x_l_1_z" = 0, "l_1_x_l_1_z" = 1),
                    effect.type = "pulse", plot.type = "heatmap", heatmap.options = "significant",
                    s.limit = 20)

Exploring the full suite of options here is impossible: that’s the fun of dynamic conditional models. We encourage users to explore their effects across meaningful ranges of their variables.

Comparing tseffects with other packages

The tseffects package makes it easy to calculate a variety of dynamic quantities of interest for single-equation dynamic regression models. Other packages offer some of the functionality that tseffects offers. Here, we replicate the results from other packages. Where replication is exact, commentary is limited. Where replication fails, we offer commentary on why. This also helps to show how code can be used to move from one package to another.

ARDL

The ARDL package (Natsiopoulos and Tzeremes 2022) is an excellent suite of functions for dynamic regression models. The package includes functions for specifying, estimating, validating, and interpreting dynamic regression models. As such, most of the functions in the ARDL package are outside the scope of the tseffects package.

But one of its functions, multipliers, does calculate dynamic quantities of interest. Its core argument, type, determines which quantity to calculate. Specifying type = "lr" calculates the long-run multiplier and is the default. Specifying type = "sr" calculates the short-run effect (or short-run multiplier). Specifying an integer between 1-200 calculates both the impulse response function and step response function, which they call the delay multiplier and interim multiplier. The package documentation indicates that standard errors are calculated using the delta method, which is exactly what the tseffects package does. Thus, all dynamic quantities should match if both packages are performing correctly.

The documentation of multipliers reveals some limitations for the package. First, the function requires users to estimate their dynamic regression models using the ARDL package and does not accept base R or other estimation strategies. Standard errors are not available for the estimates of the step response function. Similarly, standard error calculation for the impulse response function can cause R to crash due to memory issues, with the documentation stating that users should not exceed 19 periods after shock onset.

The documentation for multipliers presents the following code for estimating dynamic quantities of interest from a general error correction model:

library(ARDL)
#> To cite the ARDL package in publications:
#> 
#> Use this reference to refer to the validity of the ARDL package.
#> 
#>   Natsiopoulos, Kleanthis, and Tzeremes, Nickolaos G. (2022). ARDL
#>   bounds test for cointegration: Replicating the Pesaran et al. (2001)
#>   results for the UK earnings equation using R. Journal of Applied
#>   Econometrics, 37(5), 1079-1090. https://doi.org/10.1002/jae.2919
#> 
#> Use this reference to cite this specific version of the ARDL package.
#> 
#>   Kleanthis Natsiopoulos, Nickolaos Tzeremes and Daniel Finnan (2026).
#>   ARDL: ARDL, ECM and Bounds-Test for Cointegration. R package version
#>   0.2.5. https://CRAN.R-project.org/package=ARDL
ardl_3132 <- ardl(LRM ~ LRY + IBO + IDE, data = denmark, order = c(3,1,3,2))

uecm_3132 <- uecm(ardl_3132)

mult_uecm <- multipliers(uecm_3132)
mult_uecm
#>          Term   Estimate Std. Error   t value     Pr(>|t|)
#> 1 (Intercept)  6.2856579  0.7719160  8.142930 6.107445e-10
#> 2         LRY  0.9964676  0.1239310  8.040503 8.358472e-10
#> 3         IBO -4.5381160  0.5202961 -8.722180 1.058619e-10
#> 4         IDE  2.8915201  0.9950853  2.905801 6.009239e-03

mult_inter12 <- multipliers(uecm_3132, type = 12, se = TRUE)
mult_inter12
#> $`(Intercept)`
#>    Period       Delay Std. Error Delay  Interim
#> 1       0  2.62019159        0.5677679 2.620192
#> 2       1  0.83638523        0.1313009 3.456577
#> 3       2  1.66251108        0.4348202 5.119088
#> 4       3  0.27219301        1.1225603 5.391281
#> 5       4  0.74764138        0.4234751 6.138922
#> 6       5 -0.06303621        1.5004813 6.075886
#> 7       6  0.30494775        0.4508542 6.380834
#> 8       7 -0.13709790        1.1554969 6.243736
#> 9       8  0.13559010        0.1773740 6.379326
#> 10      9 -0.11166700        0.6872310 6.267659
#> 11     10  0.07340477        0.1264816 6.341064
#> 12     11 -0.07247168        0.3712373 6.268592
#> 13     12  0.04596349        0.1815095 6.314556
#> 
#> $LRY
#>    Period       Delay Std. Error Delay   Interim
#> 1       0  0.67279927       0.44690489 0.6727993
#> 2       1 -0.04265667       0.16061589 0.6301426
#> 3       2  0.34472079       0.31325806 0.9748634
#> 4       3 -0.09344021       0.29374567 0.8814232
#> 5       4  0.16523404       0.12697290 1.0466572
#> 6       5 -0.08963775       0.34625829 0.9570195
#> 7       6  0.08449587       0.08402193 1.0415153
#> 8       7 -0.06516272       0.26374876 0.9763526
#> 9       8  0.04828524       0.09635563 1.0246379
#> 10      9 -0.04199425       0.17200425 0.9826436
#> 11     10  0.02981916       0.09948260 1.0124628
#> 12     11 -0.02582052       0.11029184 0.9866422
#> 13     12  0.01892221       0.08501466 1.0055645
#> 
#> $IBO
#>    Period        Delay Std. Error Delay   Interim
#> 1       0 -1.078518011        0.1021345 -1.078518
#> 2       1 -0.450468509        0.1759207 -1.528987
#> 3       2 -0.430549614        0.3438923 -1.959536
#> 4       3 -1.082273674        0.8054555 -3.041810
#> 5       4 -0.453757751        0.4451639 -3.495568
#> 6       5 -0.605594519        0.6863548 -4.101162
#> 7       6 -0.144214129        0.6633531 -4.245376
#> 8       7 -0.246668265        0.6010192 -4.492044
#> 9       8  0.007155114        0.6105033 -4.484889
#> 10      9 -0.090347618        0.3740958 -4.575237
#> 11     10  0.041242668        0.3888162 -4.533994
#> 12     11 -0.036877072        0.1485927 -4.570871
#> 13     12  0.034468024        0.1961736 -4.536403
#> 
#> $IDE
#>    Period       Delay Std. Error Delay    Interim
#> 1       0  0.12546435       0.39251471  0.1254643
#> 2       1 -0.28793554       0.56718310 -0.1624712
#> 3       2  1.38276935       0.47672392  1.2202982
#> 4       3  0.25432625       0.41017766  1.4746244
#> 5       4  0.89501312       0.33001953  2.3696375
#> 6       5  0.04964722       0.65549917  2.4192847
#> 7       6  0.42420848       0.23650699  2.8434932
#> 8       7 -0.07860689       0.79189213  2.7648863
#> 9       8  0.18750565       0.19073015  2.9523920
#> 10      9 -0.09598382       0.61526097  2.8564082
#> 11     10  0.09034694       0.09150419  2.9467551
#> 12     11 -0.07265861       0.38222092  2.8740965
#> 13     12  0.05071379       0.11010339  2.9248103

mult_uecm_sr <- multipliers(uecm_3132, type = "sr")
mult_uecm_sr
#>          Term   Estimate Std. Error    t value     Pr(>|t|)
#> 1 (Intercept)  2.6201916  0.5677679  4.6148990 4.186867e-05
#> 2         LRY  0.6727993  0.1311638  5.1294603 8.317401e-06
#> 3         IBO -1.0785180  0.3217011 -3.3525465 1.790030e-03
#> 4         IDE  0.1254643  0.5544522  0.2262852 8.221614e-01

We can replicate this set of analysis using tseffects. Since tseffects is built around the underlying regression results, we show how to estimate the same model using lm.

library(tidyverse)
#> ── Attaching core tidyverse packages ──────────────────────── tidyverse 2.0.0 ──
#> ✔ dplyr     1.2.1     ✔ readr     2.2.0
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library(zoo)
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denmark_replication <- fortify.zoo(denmark)

denmark_replication$LRM_l1 <- lag(denmark_replication$LRM)
denmark_replication$LRM_d1 <- denmark_replication$LRM - denmark_replication$LRM_l1
denmark_replication$LRM_d1_l1 <- lag(denmark_replication$LRM_d1)
denmark_replication$LRM_d1_l2 <- lag(denmark_replication$LRM_d1, 2)

denmark_replication$IBO_l1 <- lag(denmark_replication$IBO)
denmark_replication$IBO_d1 <- denmark_replication$IBO - denmark_replication$IBO_l1
denmark_replication$IBO_d1_l1 <- lag(denmark_replication$IBO_d1)
denmark_replication$IBO_d1_l2 <- lag(denmark_replication$IBO_d1, 2)

denmark_replication$LRY_l1 <- lag(denmark_replication$LRY)
denmark_replication$LRY_d1 <- denmark_replication$LRY - denmark_replication$LRY_l1

denmark_replication$IDE_l1 <- lag(denmark_replication$IDE)
denmark_replication$IDE_d1 <- denmark_replication$IDE - denmark_replication$IDE_l1
denmark_replication$IDE_d1_l1 <- lag(denmark_replication$IDE_d1)


uecm_3132_replication <- lm(LRM_d1 ~ LRM_l1 + LRM_d1_l1 + LRM_d1_l2 +
                         LRY_l1 + LRY_d1 +
                         IDE_l1 + IDE_d1 + IDE_d1_l1 +
                         IBO_l1 + IBO_d1 + IBO_d1_l1 + IBO_d1_l2,
                       data = denmark_replication)

We can replicate the results for each variable using the GDRF.gecm.plot function. We focus on the variable IBO for exposition. We start by replicating the step response function and the long-run multiplier:

mult_inter12_IBO2 <- GDRF.gecm.plot(model = uecm_3132_replication,
                      x.vrbl = c("IBO_l1" = 1), y.vrbl = c("LRM_l1" = 1), 
                      x.d.vrbl = c("IBO_d1" = 0, "IBO_d1_l1" = 1, "IBO_d1_l2" = 2),
                      x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                      y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), shock.history = "step",
                      x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                      s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_IBO2$GDRF[14], mult_uecm$Estimate[3])
#> [1] TRUE
all.equal(mult_inter12_IBO2$SE[14], mult_uecm$'Std. Error'[3])
#> [1] TRUE
all.equal(mult_inter12_IBO2$GDRF[1:13], mult_inter12$IBO$Interim)
#> [1] TRUE

The point estimates from tseffects and ARDL match exactly for both the step response function and the long-run multiplier. The standard errors for the long-run multiplier also match exactly. Because ARDL does not produce standard errors for the step response function, they cannot be compared to those produced by tseffects. Overall, good news for both packages.

Next, we replicate the impulse response function:

mult_inter12_IBO <- GDRF.gecm.plot(model = uecm_3132_replication, 
               x.vrbl = c("IBO_l1" = 1), y.vrbl = c("LRM_l1" = 1), 
               x.d.vrbl = c("IBO_d1" = 0, "IBO_d1_l1" = 1, "IBO_d1_l2" = 2),
               x.vrbl.d.x = 0, y.vrbl.d.y = 0,
               y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), shock.history = "pulse",
               x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
               s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_IBO$GDRF, mult_inter12$IBO$Delay) 
#> [1] TRUE
all.equal(mult_inter12_IBO$SE, mult_inter12$IBO$'Std. Error Delay')
#> [1] "Mean relative difference: 1.203617"

Here we see a partial replication. The point estimates from tseffects and ARDL match exactly. The standard error estimates, however, do not. Again, that both packages claim to use the delta method to calculate standard errors. To investigate this discrepancy, we examine estimates for the short-run effect. The short-run effect is the value of the impulse response function when $s=0$. In a dynamic linear model, the formula for the short-run effect is simply the coefficient for the contemporaneous value of the independent variable, $\beta_{0}$. We can compare, then, the standard errors of the impulse response function to the dynamic regression model itself; they should match identically.

We start by doing so for the tseffects package:

all.equal(mult_inter12_IBO$SE[1], sqrt(vcov(uecm_3132_replication)[11,11]))
#> [1] TRUE

These results match.

We next do so for ARDL, which also has a method for explicitly calculating the short-run effect independent of the impulse response function by setting type="sr":

all.equal(mult_inter12$IBO$'Std. Error Delay'[1], sqrt(vcov(uecm_3132)[9,9]))
#> [1] "Mean relative difference: 2.149779"
all.equal(mult_inter12$IBO$'Std. Error Delay'[1], mult_uecm_sr$'Std. Error'[3])
#> [1] "Mean relative difference: 2.149779"
all.equal(sqrt(vcov(uecm_3132)[9,9]), mult_uecm_sr$'Std. Error'[3])
#> [1] TRUE

These results do not match. Indeed, the standard errors reported when type="sr" are equal to those of the model.

To return to the original failure of replication, we now perform one final comparison of two objects. The first object, from the tseffects package, is the standard error from the impulse response function when $s=0$. The second object, from the ARDL package, is the standard error of the short-run effect when type="sr". The two should be identical:

all.equal(mult_inter12_IBO$SE[1], mult_uecm_sr$'Std. Error'[3])
#> [1] TRUE

and they are.

We can walk away from this replication with a few observations. First, the point estimates of the tseffects and ARDL packages are identical. This is good news for both packages. Second, the standard errors from the two packages are mostly identical. Where the two packages differ is the standard error estimates for the impulse response function. We find the ARDL estimates do not match what we would expect from looking at the underlying model itself. In contrast, the standard errors from the tseffects package are exactly as we would expect.

The annotated replication of the ARDL package ends here. Below, we provide code that replicates the two other variables in the model included in the ARDL documentation. The results are largely the same as the above replication.

### Replication - LRY

mult_inter12_LRY2 <- GDRF.gecm.plot(model = uecm_3132_replication, x.vrbl = c("LRY_l1" = 1), 
                                    y.vrbl = c("LRM_l1" = 1), 
                                    x.d.vrbl = c("LRY_d1" = 0),
                                    x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                                    y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), 
                                    shock.history = "step",
                                    x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                                    s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_LRY2$GDRF[1:13], mult_inter12$LRY$Interim) # Estimates are Identical
# ARDL does not calculate standard errors for SRF
all.equal(mult_inter12_LRY2$GDRF[14], mult_uecm$Estimate[2]) # Estimates are Identical
all.equal(mult_inter12_LRY2$SE[14], mult_uecm$'Std. Error'[2]) # Standard Errors are Identical


mult_inter12_LRY <- GDRF.gecm.plot(model = uecm_3132_replication, x.vrbl = c("LRY_l1" = 1), 
                                    y.vrbl = c("LRM_l1" = 1), 
                                    x.d.vrbl = c("LRY_d1" = 0),
                                    x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                                    y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), 
                                    shock.history = "pulse",
                                    x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                                    s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_LRY$GDRF, mult_inter12$LRY$Delay) # Estimates are Identical
all.equal(mult_inter12_LRY$SE, mult_inter12$LRY$'Std. Error Delay') # Standard errors are not

all.equal(mult_inter12_LRY$SE[1], sqrt(vcov(uecm_3132_replication)[6,6])) # IRF(0) SE match Coef SE for tseffects

all.equal(mult_inter12$LRY$'Std. Error Delay'[1], sqrt(vcov(uecm_3132)[8,8])) # IRF(0) SE do not match Coef SE for ARDL
all.equal(mult_inter12$LRY$'Std. Error Delay'[1], mult_uecm_sr$'Std. Error'[2]) # IRF(0) SE do not match SRE SE for ARDL
all.equal(sqrt(vcov(uecm_3132)[8,8]), mult_uecm_sr$'Std. Error'[2]) # SRE SE are Coef SE for ARDL



### Replication - IDE
mult_inter12_IDE2 <- GDRF.gecm.plot(model = uecm_3132_replication,
                                    x.vrbl = c("IDE_l1" = 1), y.vrbl = c("LRM_l1" = 1), 
                                    x.d.vrbl = c("IDE_d1" = 0, "IDE_d1_l1" = 1),
                                    x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                                    y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), 
                                    shock.history = "step",
                                    x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                                    s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_IDE2$GDRF[1:13], mult_inter12$IDE$Interim) # Estimates are Identical
# ARDL does not calculate standard errors for SRF
all.equal(mult_inter12_IDE2$GDRF[14], mult_uecm$Estimate[4]) # Estimates are Identical
all.equal(mult_inter12_IDE2$SE[14], mult_uecm$'Std. Error'[4]) # Standard Errors are Identical


mult_inter12_IDE <- GDRF.gecm.plot(model = uecm_3132_replication,
                                    x.vrbl = c("IDE_l1" = 1), y.vrbl = c("LRM_l1" = 1), 
                                    x.d.vrbl = c("IDE_d1" = 0, "IDE_d1_l1" = 1),
                                    x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                                    y.d.vrbl = c("LRM_d1_l1" = 1, "LRM_d1_l2" = 2), 
                                    shock.history = "pulse",
                                    x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                                    s.limit = 12, return.data = TRUE, return.plot = FALSE)

all.equal(mult_inter12_IDE$GDRF, mult_inter12$IDE$Delay) # Estimates are Identical
all.equal(mult_inter12_IDE$SE, mult_inter12$IDE$'Std. Error Delay') # Standard Errors are not

all.equal(mult_inter12_IDE$SE[1], sqrt(vcov(uecm_3132_replication)[8,8])) # IRF(0) SE match Coef SE

all.equal(mult_inter12$IDE$'Std. Error Delay'[1], sqrt(vcov(uecm_3132)[12,12])) # IRF(0) SE do not match Coef SE
all.equal(mult_inter12$IDE$'Std. Error Delay'[1], mult_uecm_sr$'Std. Error'[4]) # IRF(0) SE do not match SRE SE
all.equal(sqrt(vcov(uecm_3132)[12,12]), mult_uecm_sr$'Std. Error'[4]) # SRE SE are Coef SE

kardl

The kardl (Karamelikli and Demir 2026) package aims to be a suite of functions for flexible dynamic regression models that allow for asymmetric effects for positive shocks and negative shocks. kardl includes functions for specifying, estimating, validating, and interpreting dynamic regression models. As such, most of the functions in the ARDL package are outside the scope of the tseffects package.

But the package provides multiple functions for calculating the step response function: mplier and bootstrap. These functions provide additional calculations when specifically focusing on asymmetric relationships not evaluated by tseffects or the GDRF. Another function, kardl_longrun, calculates the long-run multiplier and corresponding standard errors using the delta method.

Like ARDL, these functions require users to estimate their dynamic regression models using the kardl package and do not accept base R or other estimation strategies. Standard errors are not available for the estimates of the step response function.

The documentation for bootstrap and kardl_longrun presents the following code for estimating dynamic quantities of interest from a general error correction model. We can replicate this set of analysis using tseffects. Again, since tseffects is built around the underlying regression results, we show how to estimate the same model using lm. We can replicate the results for each variable using the GDRF.gecm.plot function. We focus on the variable PPI for exposition (notice adding a trend or other bespoke features is trivial):

library(kardl)

kardl_model <- kardl(imf_example_data,
                     CPI ~ ER + PPI + asy(ER) +
                       det(covid) + trend,
                     mode = c(1, 2, 3, 0))

summary(kardl_model)

long <- kardl_longrun(kardl_model)
long_summary <- summary(long)

boot <- bootstrap(kardl_model, replications=5, seed = 123L)

data <- imf_example_data
data$trend <- 1:nrow(data)

data$L1.CPI <- lag(data$CPI)
data$L0.d.CPI <- data$CPI - data$L1.CPI
data$L1.d.CPI <- lag(data$L0.d.CPI)

data$L1.ER <- lag(data$ER)
data$L0.d.ER <- data$ER - data$L1.ER

data$L0.d.ER_POS <- ifelse(data$L0.d.ER>0, data$L0.d.ER, 0)
data$L1.d.ER_POS <- lag(data$L0.d.ER_POS)
data$L2.d.ER_POS <- lag(data$L0.d.ER_POS, 2)

data$L0.d.ER_NEG <- ifelse(data$L0.d.ER>0, 0, data$L0.d.ER)
data$L1.d.ER_NEG <- lag(data$L0.d.ER_NEG)
data$L2.d.ER_NEG <- lag(data$L0.d.ER_NEG, 2)
data$L3.d.ER_NEG <- lag(data$L0.d.ER_NEG, 3)

data$L1.ER_POS <- lag(cumsum(replace(data$L0.d.ER_POS,
                                 is.na(data$L0.d.ER_POS), 0)))
data$L1.ER_NEG <- lag(cumsum(replace(data$L0.d.ER_NEG,
                                 is.na(data$L0.d.ER_NEG), 0)))

data$L1.PPI <- lag(data$PPI)
data$L0.d.PPI <- data$PPI - data$L1.PPI

model <- lm(L0.d.CPI ~ L1.CPI + L1.ER_POS + L1.ER_NEG + L1.PPI +
              L1.d.CPI +
              L0.d.ER_POS + L1.d.ER_POS + L2.d.ER_POS +
              L0.d.ER_NEG + L1.d.ER_NEG + L2.d.ER_NEG + L3.d.ER_NEG +
              L0.d.PPI +
              covid + trend, data = data[6:470,])

summary(model)

boot_ppi <- GDRF.gecm.plot(model = model,
                           x.vrbl = c("L1.PPI" = 1), y.vrbl = c("L1.CPI" = 1), 
                           x.d.vrbl = c("L0.d.PPI" = 0),
                           x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                           y.d.vrbl = c("L1.d.CPI" = 1), shock.history = "step",
                           x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                           s.limit = 20, return.data = TRUE, return.plot = FALSE)

all.equal(boot_ppi$GDRF[1:21], boot$mpsi$PPI_POS[1:21]) # Estimates are Identical

all.equal(boot_ppi$GDRF[22], as.numeric(long$coefficients[3])) # Estimates are Identical
all.equal(boot_ppi$SE[22], long_summary$coefficients[3,2]) # Standard Errors are Identical

The point estimates from tseffects and kardl match exactly for both the step response function and the long-run multiplier. The standard errors for the long-run multiplier also match exactly. Because kardl does not produce standard errors for the step response function, they cannot be compared to those produced by tseffects. Below, we provide code that replicates the other variable in the model, ER, which is allowed to have an asymmetric effect. The results are largely the same: the point estimates and standard errors match.

### Replication - ER_POS
boot_pos <- GDRF.gecm.plot(model = model,
                           x.vrbl = c("L1.ER_POS" = 1), y.vrbl = c("L1.CPI" = 1), 
                           x.d.vrbl = c("L0.d.ER_POS" = 0, "L1.d.ER_POS" = 1, "L2.d.ER_POS" = 2),
                           x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                           y.d.vrbl = c("L1.d.CPI" = 1), shock.history = "step",
                           x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                           s.limit = 20, return.data = TRUE, return.plot = FALSE)

all.equal(boot_pos$GDRF[1:21], boot$mpsi$ER_POS[1:21]) # Estimates are Identical

all.equal(boot_pos$GDRF[22], as.numeric(long$coefficients[1])) # Estimates are Identical
all.equal(boot_pos$SE[22], long_summary$coefficients[1,2]) # Standard Errors are Identical


### Replication - ER_NEG
boot_neg <- GDRF.gecm.plot(model = model,
                           x.vrbl = c("L1.ER_NEG" = 1), y.vrbl = c("L1.CPI" = 1), 
                           x.d.vrbl = c("L0.d.ER_NEG" = 0, "L1.d.ER_NEG" = 1, 
                                        "L2.d.ER_NEG" = 2, "L3.d.ER_NEG" = 3),
                           x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                           y.d.vrbl = c("L1.d.CPI" = 1), shock.history = "step",
                           x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                           s.limit = 20, return.data = TRUE, return.plot = FALSE)

all.equal(-boot_neg$GDRF[1:21], boot$mpsi$ER_NEG[1:21]) # Estimates are Identical
# Must flip sign of tseffect estimates because it's for a one-unit decrease

all.equal(boot_neg$GDRF[22], as.numeric(long$coefficients[2])) # Estimates are Identical
all.equal(boot_neg$SE[22], long_summary$coefficients[2,2]) # Standard Errors are Identical

dynamac

dynamac (Jordan and Andrew Q. Philips 2018b) offers the ability to estimate ADL and GECM models and obtain inferences about “shocks” to variables of interest. It uses simulation-based methods to investigate changes to fitted values. This is different than tseffects, where the GDRF is defined by the IRF and SRF. In an ADL or GECM implementation, this means a combination of parameters from the model (and associated uncertainty). This approach is very different from observing changes to predicted values with uncertainty coming from the simulated parameters.

Still, we can observe whether the packages are broadly equivalent. We estimate a GECM described in dynamac, noting again that we create the individual variables for standalone estimation by lm

library(dynamac)

### From helpfile of dynardl.simulation.plot()

set.seed(1)
ardl.model <- dynardl(concern ~ incshare10 + urate, data = ineq,
                      lags = list("concern" = 1, "incshare10" = 1),
                      diffs = c("incshare10", "urate"),
                      lagdiffs = list("concern" = 1),
                      ec = TRUE, simulate = TRUE, range = 30,
                      shockvar = "incshare10", shockval = 1, fullsims = TRUE)

summary(ardl.model)

### Replication - Model
inequality <- ineq

inequality$l1.concern <- lag(inequality$concern, 1)
inequality$d1.concern <- inequality$concern-inequality$l1.concern
inequality$l1.d1.concern <- lag(inequality$d1.concern)

inequality$l1.incshare10 <- lag(inequality$incshare10)
inequality$d1.incshare10 <- inequality$incshare10 - inequality$l1.incshare10

inequality$l1.urate <- lag(inequality$urate)
inequality$d1.urate <- inequality$urate - inequality$l1.urate

ardl.model.replication <- lm(d1.concern ~ l1.concern + l1.d1.concern +
                          l1.incshare10 + d1.incshare10 +
                          d1.urate, data = inequality)

### Replication - incshare10
ardl.model.replication.plot <- GDRF.gecm.plot(model = ardl.model.replication,
                                         x.vrbl = c("l1.incshare10" = 1), y.vrbl = c("l1.concern" = 1), 
                                         x.d.vrbl = c("d1.incshare10" = 0),
                                         x.vrbl.d.x = 0, y.vrbl.d.y = 0,
                                         y.d.vrbl = c("l1.d1.concern" = 1), shock.history = "pulse",
                                         x.d.vrbl.d.x = 1, y.d.vrbl.d.y = 1,
                                         s.limit = 20, return.data = TRUE, return.plot = FALSE)

We note that, since dynamac traces the response path of predicted values, if we wanted to see the change in those values (the changing differences that is predicted by the GDRF), we would just difference them.

# dynamac is fitted values; dshift (difference) is akin to marginal effect (change in fitted)
all.equal(ardl.model.replication.plot$GDRF[1:21],
          dshift(ardl.model$simulation$central)[10:30])

These estimates are not identical but are very close, likely due to simulation-based uncertainty.

We can also use this as a chance to better see the effect.type = "fitted" plots, since this is what dynamac creates natively. This is easiest if we switch back to the toy data for one last model:

dynamac.fitted <- dynardl(y ~ x, 
                      lags = list("y" = 1, "x" = 1),
                      levels = c("x"), 
                      ec = FALSE, simulate = TRUE, range = 35,
                      shockvar = "x", shockval = 1, 
                      forceset = list("x" = 0.1), fullsims = TRUE, 
                      data = toy.ts.interaction.data)

model.fitted <- lm(y ~ l_1_y + x + l_1_x, data = toy.ts.interaction.data)
tseffects.fitted <- GDRF.adl.plot(model = model.fitted,
                        x.vrbl = c("x" = 0, "l_1_x" = 1),
                        y.vrbl = c("l_1_y" = 1),
                        d.y = 0, d.x = 0,
                        # baseline.y = 0,
                        effect.type = "fitted", shock.history = "step",
                        inferences.x = "levels", inferences.y = "levels",
                        prediction.values = list("x" = 0.1, "l_1_x" = 0.1), return.data = TRUE, return.plot = TRUE) 

# shock at 10, so baseline at 9. s = 0 is 10. thus s = 20 is 30.
cbind(tseffects.fitted$data$GDRF, dynamac.fitted$simulation$central[9:30]) # estimates are close
all.equal(tseffects.fitted$data$GDRF, dynamac.fitted$simulation$central[9:30]) # estimates are close

library(ggplotify)
library(patchwork)

combined <- as.ggplot(~dynardl.simulation.plot(dynamac.fitted)) + tseffects.fitted$plot
combined

The response paths start from (very) similar baselines, as we forceset the $x$ variable to 0.1 (its mean) in dynamac and use prediction.vales to do the same (for each $x$) in tseffects. We can get a better sense of the difference in model-based uncertainty and simulation-based uncertainty by tracing out the response paths. Note that we use a few intermediaries to combine the plot objects, as dynamac plots in base R (likely because its developer is lazy).

These paths are very similar but reflect different approaches to estimation and uncertainty.

Concluding thoughts

A word of caution: tseffects is very naive to your model. This is true in three ways. First, it relies on the user to specify the lag structure correctly in both the underlying lm model as well as the corresponding plot you are producing. Including a term in the model, but not passing it to the plotting function (i.e. to GDRF.adl.plot through x.vrbl) will cause the calculation of the effects to be inaccurate. interact.adl.plot is completely uninformed about the underlying model: if there are interactive terms included in the model but not included in interact.adl.plot, the effect estimates will be incorrect. If a lagged variable is ommited, the effect estimates will be incorrect. It is incumbent on the user to ensure that the model is well specified and that the specification is fully reflected in the interpretation function used.

Second, and to reiterate, it makes no check that your model is well specified. The best starting place for a calculation of effects is always a well-specified model; users should complete this before obtaining inferences. See the citations at the beginning of the vignette for places to start.

Third, it does not pass judgement on the shock history you are applying. Stationary (d.x = 0) variables cannot trend by definition, but specifying shock.history = 1 in the function would apply a linear trend shock history anyway. This is not a good idea and is inconsistent with the underlying independent variable. However, shock histories are hypothetical, and we are loathe to limit the ability of a user to specify a counterfactual, consistent or not. We leave it in the user’s hands to determine if their shock is sensible or not.

Despite these words of caution, tseffects hopefully simplifies the job of the time series analyst in obtaining a variety of effects.

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