Re: [Gretl-users] generalized impulse response
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!
cheers,
sven