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Nonlinear Impulse Response Function
Posted: Fri Feb 04, 2011 3:55 pm
by j_lee
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 code it.
Thank you for your time and best regards,
Jun
Re: Nonlinear Impulse Response Function
Posted: Fri Feb 18, 2011 11:05 am
by TomDoan
This is from the structural breaks and switching course. It's quite a bit more complicated than the calculation of the GIRF for the univariate case.
Corrected program posted 1 April 2011
Program file:
Data file:
Re: Nonlinear Impulse Response Function
Posted: Fri Mar 04, 2011 3:43 pm
by j_lee
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 don't understand why 1 means Spread's GIRF to shock in Discount rate, etc.
Another question is that is it possible to get (or split) GIRF for both positive and negative shock in discount rate?
Thank you for your consideration
Re: Nonlinear Impulse Response Function
Posted: Fri Apr 01, 2011 10:33 am
by TomDoan
j_lee wrote: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 don't understand why 1 means Spread's GIRF to shock in Discount rate, etc.
Another question is that is it possible to get (or split) GIRF for both positive and negative shock in discount rate?
Thank you for your consideration
Sorry. One of the series was mapped incorrectly. I've posted a corrected version above.
While it's possible to collapse the model down to fewer variables, it's much easier to leave everything in this form, with the differences, the levels and the error correction term as the five variables.
Re: Nonlinear Impulse Response Function
Posted: Fri Apr 01, 2011 11:04 am
by iloverats
TomDoan wrote:This is from the structural breaks and switching course. It's quite a bit more complicated than the calculation of the GIRF for the univariate case.
Corrected program posted 1 April 2011
Program file:
sms_5_2.rpf
Data file:
irates.xls
it still uses the MC method not bootstrap method
am i right ? Tomn
Re: Nonlinear Impulse Response Function
Posted: Fri Apr 01, 2011 12:58 pm
by TomDoan
iloverats wrote:it still uses the MC method not bootstrap method
am i right ? Tomn
It is randomizing over shocks, but not over coefficients. Those are being treated as fixed at the sample estimates.