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!
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. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti
