Non-linear Structural VAR and Impulse responses

[prasad teja]

Dear All

I am trying to measure the interaction effect in different regimes. while I found Threshold VAR in TsDyn package in R, still it is not what i am looking for. in essence, i am searching for a nonlinear SVAR model where i can edit the relationship between the variables in the model and generate impulse responses for different regimes

[Matthieu Stigler]

Hi

I am sorry, SVAR are not supported by this package.

Best,

Matthieu