Non-Linear VAR code?
Posted: Wed Jul 09, 2008 12:59 pm
Does someone have code to implement a non-linear VAR? I am looking for something where the size and sign of the shock can induce asymmetric responses on the variables of the model. I don't have any experience with non-linear VARs, but I think code from Weise (JMCB, 1999) that implements a Logistic Smooth Transition VAR would work. Thanks in advance for the help.
