Dear
I estimate a threshold VAR model using this addin but I would like to print them into table to see the differences in the upper and lower regimes. But the results are just presented in terms of Figure. Is there command for this?
Thanks for your help
Threshold Structural VAR
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 Posts: 4
 Joined: Wed Nov 22, 2017 3:26 am
Re: Threshold Structural VAR
Dear,
Thanks for the useful addin. Anyway, I have problem when running the threshold VAR. I got the error message "68 is not a valid index for vectorseriescoefficient D1V". May I know how to solve this problem? I have 69 observations.
Thank you!
Thanks for the useful addin. Anyway, I have problem when running the threshold VAR. I got the error message "68 is not a valid index for vectorseriescoefficient D1V". May I know how to solve this problem? I have 69 observations.
Thank you!
Re: Threshold Structural VAR
If you have missing observations then adjust the sample size.
Re: Threshold Structural VAR
I opened the prg file of the but it is encrypted, i would like to just tabulate the results or graph just positive responses. Is it possible to remove negative responses in the graph?
Regards
Regards
Re: Threshold Structural VAR
Hi, thank you very much for this usefull add in. What I understand is that this add in estimates a threshold SVAR, so the errors are uncorrelated structural shocks?
however my concern is about restrictions in SVAR, there is no possibility to impose the short and long run restrictions on SVAR when using the THSVAR?
Thanks
however my concern is about restrictions in SVAR, there is no possibility to impose the short and long run restrictions on SVAR when using the THSVAR?
Thanks
Re: Threshold Structural VAR
It estimates the Generalized IRF. It is not possible to impose SR or LR restrictions.
Re: Threshold Structural VAR
Hi Dakila
Please, can you help me with a problem? I'm trying to estimate a Tvar, but i'm getting "division by zero" error.
The Tvar i'm trying to estimate is "dlcambio dlpib dlselic lipca lexp2" with 4 lags .
Where: Dlcambio Exchange rate
DlPIB Brazilian GDP
DLSelic Brazilian interest rate
LEXP2 Brazilian 2 years inflation expectation
LIPCABrazilian Inflation
My threshold variable is lexp2
Bests
Please, can you help me with a problem? I'm trying to estimate a Tvar, but i'm getting "division by zero" error.
The Tvar i'm trying to estimate is "dlcambio dlpib dlselic lipca lexp2" with 4 lags .
Where: Dlcambio Exchange rate
DlPIB Brazilian GDP
DLSelic Brazilian interest rate
LEXP2 Brazilian 2 years inflation expectation
LIPCABrazilian Inflation
My threshold variable is lexp2
Bests
 Attachments

 Bra inflation.WF1
 (39.4 KiB) Downloaded 13 times
Re: Threshold Structural VAR
The sample size is very short. Try to reduce the lag number. For example reduce the lag to 2.
Re: Threshold Structural VAR
Hi dakila, would you please tell me in this TSVAR addin, which method is applied to calculate the impulse responses? thanks
Re: Threshold Structural VAR
The addin computes average IRF for response variable, conditional on being in the upper or lower regime. The identification is recursive. So order of variables is matter.

 Posts: 1
 Joined: Thu Feb 22, 2018 7:00 am
Re: Threshold Structural VAR
Hi!
How do I modify threshold value in such a way that lower regime is recession and upper for growth?
Also, what should be the p values of sup, avg and exp wald?
Thank you!
How do I modify threshold value in such a way that lower regime is recession and upper for growth?
Also, what should be the p values of sup, avg and exp wald?
Thank you!
Re: Threshold Structural VAR
Hi Dakila
I'm trying to understand what means this 2 variables
 length of moving average
 delay parameter
Can you explain them to me or post an reference?
I'm trying to understand what means this 2 variables
 length of moving average
 delay parameter
Can you explain them to me or post an reference?
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