Search found 2 matches
- Mon Mar 04, 2013 9:07 pm
- Forum: Structural Breaks and Switching Models
- Topic: Need help with Generating error bands for threshold VAR
- Replies: 2
- Views: 7648
Re: Need help with Generating error bands for threshold VAR
Dear Tom, Thank you very much for your reply. Actually I took first difference in order to remove country fixed effect. I know this may not be adequate, and I think I may evaluate each equation in the system by arellano-bond type GMM estimation. Besides this, is there anything wrong with my code for...
- Thu Feb 28, 2013 9:08 pm
- Forum: Structural Breaks and Switching Models
- Topic: Need help with Generating error bands for threshold VAR
- Replies: 2
- Views: 7648
Need help with Generating error bands for threshold VAR
Dear Tom, I recently try to modify sms_5_2.rpf in "RATS Handbook for Switching Models and Structural Breaks" for my own use. My model has three variables. The original code only generates one S.D. shock for girf, so I first modified the code in the following way to generate one unit shock....