Impulse Responses for nlsystem

[vinayadhikari]

Hello:

I am estimating a two variable nlsytem. Is there an easy way to generate impulse responses after nlsytem. Thank you for your help.

[TomDoan]

What type of model? In general, there is no easy way to get impulse responses for a non-linear model since the responses depend upon initial conditions.

[vinayadhikari]

I am estimating a multivariate STAR model, adapting straight from this posting of yours: http://www.estima.com/forum/viewtopic.php?f=8&t=2126
This is perhaps not feasible then. Thanks.

[TomDoan]

It's not simple, since it requires averaging across simulations. But you have to figure out what you want to simulate in the first place. Particularly with transition models, it can make a big difference what the initial conditions are.