Matlab Toolbox for Non-linear VARs and Generalized IRFs
I will at some point upload a Matlab Toolbox for the estimation of
threshold vector autoregressions (easily adaptable to smooth transition VARs).
Most importantly, the toolbox will contain a code for the generation of generalized
impulse responses as well as their bootstrapped confidence bands (see the appendix of my threshold
VAR paper for the methodology). In case you are interested in Matlab codes for non-linear VARs and GIRFs,
write me an email to julia.schmidt@graduateinstitute.ch and
I can send you some files.
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