get_vals_switching: Compute values of transition function to separate regimes

In lpirfs: Local Projections Impulse Response Functions

Compute values of transition function to separate regimes

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

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 July 9, 2023, 6:35 p.m.