Riccardo (Jack) Lucchetti schrieb:
On Tue, 23 Feb 2010, Sven Schreiber wrote:
> Artur T. schrieb:
>> Hello gretl community ;-)
>>
>> I would like to ask whether there are any plans to incorporate
>> generalized impulse response functions into VAR analysis; based on the
>> papers by:
>>
>> 1. Koop, G., Pesaran, M. H. and S. M. Potter (1996), “Impulse Response
>> Analysis in Nonlinear Multivariate Models”, Journal of Econometrics,
>> 74,
>> 119–147.
>> and maybe
>> 2. Pesaran, M. H. and Y. Shin (1998), “Generalized Impulse Response
>> Analysis in Linear Multivariate Models”, Economics Letters, 58, 17–29.)
>>
>>
>> Or maybe anyone has written some function for it? I have no idea how
>> difficult it is to implement this feature, but I think it might be
>> worthy if the programming effort is not too big and the demand for it
>> sufficient.
>>
>
> IIRC the "GIRFs" are easy to obtain. If you want the GIRF for the i-th
> variable, you just reorder the variables in the VAR such that the i-th
> variable is in the first (or last? I always mix it up...) position, and
> then you apply the classic Cholesky decomp. So if you want the GIRFs for
> all n variables, you repeat this trick n times.
>
> That's why IMHO the GIRFs are a little over-hyped, but OTOH I don't see
> them in papers that much, so maybe the hype isn't real.
>
> So this looks like a very good case for a user-contributed function
> package. Artur, I'm sure you could do it yourself!
@Sven: Thanks for the
hints, Sven. Actually I really would like to try
to write down such a function but I have to admit that I've never done
something similar before.
I agree with Sven. The only thing I want to add is that I'm
working on
a substantially revised version of my SVAR package: the code is almost
ready (only the cointegrated case is missing), the docs are a bit
behind. I'll post a link when it's ready: by studying my code, you'll
probably be able to write a function for GIRFs with relatively little
effort.
Revised SVAR package: That sounds great!! ;) I'll gonna wait for the
package and then I'll have a look on your code.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
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Cheers,
Artur