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GIRF for STAR Model

Posted: Tue Apr 26, 2016 7:15 am
by Hayet-
hi
I would like to calculate the generalized impulse function for a nonlinear model (STAR model)?

Re: GIRF for STAR Model

Posted: Tue Apr 26, 2016 1:41 pm
by TomDoan
This is an example from the Structural Breaks and Switching Models e-course. Note that there really isn't a single GIRF for a model like this---there's a different response function for different initial conditions. The "one-off" calculation here is for the GIRF at 1925:1. The fairly complex programming at the end is for doing error bands.
sms_6_2.rpf
STAR Model GIRF
(4.27 KiB) Downloaded 1109 times
lynx.dat
Data file
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