Auerbach-Gorodnichenko AEJ Smooth Transition VAR

[condor]

Auerbach and Gorodnichenko have written an interesting working paper(*) on the hot topic of these days. The article has recently been accepted for publication in forthcoming issues of the AEJ: Economic Policy. In their study, they develop a Smooth Transition VAR model. The model is highly nonlinear and has many parameters, which makes it very difficult to estimate using standard optimization routines. Therefore, they employ quite a different and an interesting procedure, which I am not familiar with. They also construct confidence intervals for parameter estimates as well as impulse responses via MCMC method.

It would be more than nice to have the RATS codes that replicate this study. Although my RATS skills fall short in this case, I am fairly sure that it is possible and more efficient to build and solve the model in RATS environment.

(*)Auerbach, Alan J. and Gorodnichenko, Yuriy, 2010. “ Measuring the Output Responses to Fiscal Policy ”, NBER Working Paper No. 16311, August

[writ]

I would also be interested in the code used to replicate this paper.

[flopez2011]

I also would like to get the code