lpirfs: get_vals_switching – R documentation

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get_vals_switching

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

Local Projections Impulse Response Functions

v0.2.0

GPL (>= 2)

Authors

Philipp Adämmer [aut, cre] (<https://orcid.org/0000-0003-3770-0097>), James P. LeSage [ctb], Mehmet Balcilar [ctb], Jon Danielsson [ctb]

Initial release