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asymmetric impulse responses

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asymmetric impulse responses

Postby np2333 » Sat Jul 25, 2015 8:01 am

I am looking to progam a model which has non linear dynamics. In particular, i wish to explore the differences in response to positive and negative shocks to the same variable. What is the best way to do this in dynare? (second or third oder approximation in stoch_simul, or are there better alternatives?)
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Re: asymmetric impulse responses

Postby jpfeifer » Tue Jul 28, 2015 10:15 am

Please see the RBC_state_dependent_GIRF.mod on my homepage.
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Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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