Asymmetric VAR Model

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smalk
Posts: 2
Joined: Tue Sep 22, 2020 3:17 am

Asymmetric VAR Model

Postby smalk » 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.
Attachments
ReplicationKilianVigfussonQE2011.ZIP
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