Non-Linear VAR code?

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lostumbo
Posts: 1
Joined: Wed Jul 09, 2008 11:38 am

Non-Linear VAR code?

Unread post by lostumbo »

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.
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ngumus
Posts: 2
Joined: Sun Feb 05, 2012 2:02 pm

Re: Non-Linear VAR code?

Unread post by ngumus »

Does someone have replication code of Weise (1999) "The asymmetric effects of monetary policy: a nonlinear vector autoregression approach"Journal of Money,Credit and Banking, 31, 85-107. :?
Thanks in advance for any help
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