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Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 12:47 am
by nasa
Hi,

Here is my work file and I think based on the formula, the following is the result.Is that right,please?
The endogenous variables are: dgdp,dspending,dtax and the threshold variable and response variable is dgdp and the lag length for the VAR is 2.
Degrees of freedom=N-1.
b = 0.15*(2014q2-1960q1+1)+3-217
= 0.15*(218+1)+3-217
=-181.15
thsvar workfile.WF1
(151.16 KiB) Downloaded 3 times


Best.

Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 2:04 am
by dakila
I don't think so. The degrees of freedom is just for adjustment of the sample size. It should not be big number. It may be between 0 to 5.

Re: Threshold Structural VAR

Posted: Sun Aug 20, 2017 2:14 am
by nasa
ok,

may be the formula is wrong or what is my wrong here is then?

plus can i get the impulses result in table form,please?

Best.

Re: Threshold Structural VAR

Posted: Fri Sep 08, 2017 12:26 am
by nasa
Hi,

I think that the thsvar will be very useful add in for econometricians if it can include confidence intervals based on Monte Carlo simulations for the GIRFs. It could help them to better interpret the results.

Best

Re: Threshold Structural VAR

Posted: Mon Sep 11, 2017 3:40 pm
by dakila
thanks for the comment