Impulse Responses in a Threshold VECM

[TomDoan]

This is an example of computing the Generalized Impulse Response Function for a Threshold VECM. (It also includes estimation and computation of the "eventual forecast function").

This differs from the approach to computing GIRF's in Balke(2000) as the code here

1. Uses random normals rather than bootstrapping
2. Computes the GIRF's from a single set of initial conditions rather than averaging across all possible values.

The model here also uses a common covariance matrix for the two regimes rather than allowing it to vary.

The technical details for the calculations are described in the Structural Breaks and Switching Models course.