Threshold VAR

Topics: VAR, SVAR, FAVAR
Jun 9, 2014 at 6:51 PM
Hello,

I tried to figure out how to use IRIS to estimate a threshold VAR model. I did not find a way to program it.

Base on the current code, do you think it is possible?

Best,
Gabriel
Coordinator
Jun 9, 2014 at 6:59 PM
Unfortunately not. I though plan on adding smooth-transition VARs at some point in the future, which is (loosely speaking:) a sort of generalized case of threshold models...

Jaromir
Marked as answer by jaromirbenes on 6/9/2014 at 11:59 AM
Jun 9, 2014 at 7:15 PM
Thanks for your answer. I will then stop looking for a way to code it using IRIS actual code.

I do think smooth-transition VAR would be a great addition to IRIS toolbox, as it is more and more use by practitionner to easily model nonlinear behavior.

Best,
Gabriel
Coordinator
Jun 9, 2014 at 8:15 PM
Yes, totally agree. I myself use the stuff in empirical macrofinancial models...
Marked as answer by jaromirbenes on 6/9/2014 at 1:15 PM