## Search found 7 matches

Thu Jan 12, 2017 1:55 pm
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

Thank you. A couple other questions (at the moment): 1) In calculating the IRFs, does the standard deviation of a shock reflect the standard deviation of a variable during that particular regime or its standard deviation over the entire sample? 2) Is it possible to compare the information criteria o...
Tue Jan 10, 2017 8:28 am
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

I had not yet updated the Add-in, so thank you for the suggestion.

What syntax should we use in the command line to estimate cumulative generalized impulse functions? Previously it was girf=1. Is it not cgirf=1? Or something else?

Thanks again!
Mon Jan 09, 2017 11:34 am
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

Hi,

Could you verify if the GIRF function in the ThSVAR add-in displays cumulative generalized impulse response functions or not? If not, is there a way to export the underlying values to Excel?

Thanks
Thu Aug 11, 2016 6:36 am
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

I have a question regarding how the threshold variable is calculated... As an example, I have monthly data on credit spreads from 1919m1 through 1941m12. For the threshold variable I'd like to use the moving average of the credit spread with a length of 6. If I set the sample from 1919m6 through 194...
Mon Jul 18, 2016 10:28 am
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

No worries.

A couple other quick questions though...

1) Does the moving average include the current period or only previous periods?

2) How should we cite your program?
Fri Jul 15, 2016 8:24 am
Topic: Threshold Structural VAR
Replies: 123
Views: 48106

### Re: Threshold Structural VAR

Thank you for the suggestions! I made the recommended changes and the program is now working. For my current research it also might be useful to try and create figures similar to Figures 3 and 4 in the Balke (2000) paper. Do you have any suggestions for determining the probability of a regime change...
Thu Jul 14, 2016 1:23 pm