Search found 2 matches
- Fri Mar 04, 2011 3:43 pm
- Forum: Structural Breaks and Switching Models
- Topic: Nonlinear Impulse Response Function
- Replies: 5
- Views: 12141
Re: Nonlinear Impulse Response Function
Dear Tom Thank you for your comment and codes. I have two questions about your code. In your code, you created 5 GIRFs. But I don't understand the relationship between numbers and created GIRFs. For example, while GIRF(1) represents "GIRF for Spread to one S.D. shocks in Discount rate", I ...
- Fri Feb 04, 2011 3:55 pm
- Forum: Structural Breaks and Switching Models
- Topic: Nonlinear Impulse Response Function
- Replies: 5
- Views: 12141
Nonlinear Impulse Response Function
Dear RATS users I am looking for a code to estimate nonlinear (generalized) impulse response function in threshold error correction model (TECM). I tried to it using basic code of Terasvirta (1994) in RATS discussion forum, but it is little differenct case. So it would be great if you help me to cod...