Threshold VAR - imposing restrictions and generating GIRFs

[Mateo Zokalj]

Dear Stata users,

I am using threshold in Stata 15.1 in order to estimate a fiscal policy threshold VAR (TVAR) model. For the post purposes, I am using a quarterly time-series from 2000q1 to 2018q4 with 3 variables - D.aggregate consumption, D.govt_spending and D.vat_receipts - resulting in 66 observations. Theoretical model is in the vein of Blanchard & Perotti, whereas some of the TVAR references used are Mirdala&Kamenik (2017) and Baum&Koester (2011).

My questions would be the following:

1) How do I impose SVAR-like restrictions within TVAR? Within svar it is pretty straightforward, however I haven't seen it in the threshold manual guide anything like that.
2) Is there a Stata code to automatically generate generalized impulse response functions (GIRFs)? The algorithm for computing GIRF can be found in Myrdala&Kamenik at page 23.
3) Did I miss a Stata code for Tsay's non-linearity test?

Thanks for your help,

Mateo


References
Mirdala & Kamenik (2017) - https://mpra.ub.uni-muenchen.de/7991...aper_79919.pdf
Baum&Koester (2011) - https://core.ac.uk/download/pdf/6670964.pdf

[Obioma Asuzu]

Hi Mateo, did you get any response on this outside this platform? If yes, could you please share. i am interested in the solution to your question as I am unable to run the threshold VAR and generate GIRFs in STATA. Can anyone help please?