lpirfs (version 0.1.0)

switching_series: Compute values of transition function to separate regimes

Description

Function to estimate transition values, which uses a smooth transition function as used in Auerbach and Gorodnichenko (2012). The time series used in the transition function can be de-trended via the Hodrick-Prescott (see Auerbach and Gorodnichenko, 2013).

Usage

switching_series(switching_data, specs)

Arguments

switching_data

A numeric vector.

specs

A list() with inputs as in lp_nl().

Value

fz

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

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.