Impulse response function in AR(2) model

2 次查看（过去 30 天）

Can Sever 2017-9-6

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/355495-impulse-response-function-in-ar-2-model

编辑： Can Sever 2017-9-6

Hi all, I am trying to calculate the impulse response for an AR(2) model with panel data. The regression is the following:

g(i,t)= Country fixed effects + a1*g(i,t-1) + a2*g(i,t-2) + alpha1*D1(i,t) + alpha2*D1(i,t-1) + alpha3*D1(i,t-2)+ beta1*D2(i,t) + beta2*D2(i,t-1) + beta3*D2(i,t-2)+ theta1*D3(i,t) + theta2*D3(i,t-1) + theta3*D3(i,t-2) + error

where g(i,t) is the growth rate of output in country i at year t and D's are dummies for crises. D3=D1*D2 (so it is 1 whenever both D1 and D2 is one, zero otherwise).

I estimate this and get the estimates for alpha, beta and theta coefficients from STATA. I need to calculate the impulse response of growth to D3, and interpret it as the amplification effect arising from co-occurence of D1 and D2 (on the top of individiaul impacts of D1 and D2). Can somebody help me with this?

Thank you in advance!