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!