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Hi: I am estimating a panel VAR and using a simple cholesky decomposition of identification. I understand impulse responses in this exercise would refer to a some cross-sectional average impulse response. I am more keen in the historical decomposition. And even if it is estimated as a panel, one sho...

I am trying to apply Hansen's threshold model (1996) in a VAR context. Inferences in that model require the DGP to be covariance stationary. I have conducted a battery of tests for unit roots especially for inflation during 1985-2010. ADF, PP have conflicting answers. Structural break type unit root...