GIRF for STAR Model

[Hayet-]

hi
I would like to calculate the generalized impulse function for a nonlinear model (STAR model)?

[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

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lynx.dat

Data file

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