The RATS Software Forum

Dear Tom, Sorry, I meant "conditioning on each regime" but the best terminology would express something like "conditioning on entire past history, the state of the economy and the size of the shock". Thanks for the suggestion. Is it possible to calculate confidence bands for the ...

The problem is that under a VAR with threshold variable, standard IRFs are valid only in regions close enough to the threshold due to nonlinearity of the model. In the general case, some authors often use GIRFs based on bootstrap methods for each regime. So my question is how to get this kind of GIR...

Dear Tom,

Is there an easy way to extend the codes for TVAR so that one can get GIRF for each of the regimes specified in a model?

Thank you.