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! > > 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 > ------------------------------------------------------------------------ > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users Hi,
Yesterday night I started to work on my first gretl program/function (find attached). I want to implement the generalized IRF. Unfortunately, it is limited to the VAR(1) case yet, because I am not sure how to handle higher orders yet. Maybe, somebody could help me regarding this(?). Riccardo you mentioned your SVAR package which I've got here, but I am not sure which section the relevant is. Cheers, Artur
GIRF_general_denmark.inp
Description: application/gretlscript
