lpirfs (version 0.1.3)

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(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.