Asymmetric VAR Model
Posted: Wed Jul 06, 2022 10:27 am
Dear Moderators,
I believe a very useful addition in the next release or through an add-in would be the Nonlinear (Asymmetric) VAR model that has been developed by Kilian and Vigfusson, Quantitative Economics 2011. https://doi.org/10.3982/QE99
This is a model that can have a very wide range of macroeconomic applications and it will help researchers a lot.
Kilian has already uploaded the code in Matlab (attached and link below) but a GUI environment through EVIEWS would make the methodology way more accessible to researchers.
https://sites.google.com/site/lkilian20 ... authuser=0.
Thanks a lot and feel free to reach out to me in case you need any further details.
I believe a very useful addition in the next release or through an add-in would be the Nonlinear (Asymmetric) VAR model that has been developed by Kilian and Vigfusson, Quantitative Economics 2011. https://doi.org/10.3982/QE99
This is a model that can have a very wide range of macroeconomic applications and it will help researchers a lot.
Kilian has already uploaded the code in Matlab (attached and link below) but a GUI environment through EVIEWS would make the methodology way more accessible to researchers.
https://sites.google.com/site/lkilian20 ... authuser=0.
Thanks a lot and feel free to reach out to me in case you need any further details.