get_vals_switching: Compute values of transition function to separate regimes

Description Usage Arguments Value Author(s) References

View source: R/get_vals_switching.R

Description

Computes transition values by using a smooth transition function as used in Auerbach and Gorodnichenko (2012). The time series used in the transition function can be detrended via the Hodrick-Prescott filter (see Auerbach and Gorodnichenko, 2013).

Usage

1
get_vals_switching(data_set, specs)

Arguments

data_set

A numeric vector or a panel data set, depending on the model to estimate.

specs

A list with inputs as in lp_nl().

Value

fz

A numeric vector with values from the smooth transition function F(z_{t-1}).

Author(s)

Philipp Adämmer

References

Auerbach, A. J., and Gorodnichenko Y. (2012). "Measuring the Output Responses to Fiscal Policy." American Economic Journal: Economic Policy, 4 (2): 1-27.

Auerbach, A. J., and Gorodnichenko Y. (2013). "Fiscal Multipliers in Recession and Expansion." NBER Working Paper Series. Nr 17447.


lpirfs documentation built on March 24, 2021, 1:10 a.m.