tvarGIRF is an R package that calculates generalised impulse response functions to reduced form shocks for threshold vector autoregressions estimated using the tsDyn package.

Please note: this package is something I put together quickly for an uncompleted project because the only other implementation of GIRFs in R that existed at the time looks like it implements the bootstrap incorrectly to me. According to the tsDyn wiki, GIRFs are now included in the tsDyn package, so you might have better luck with those.

Install the lastest released version of the package using the R remotes package:

library(remotes)
install_github("angusmoore/tvarGIRF", ref = "v0.1.4")

You can also install the latest development version:

library(remotes)
install_github("angusmoore/tvarGIRF")

The library extends the R tsDyn package. The following example illustrates how to create a simple GIRF for a threshold VAR using the zeroyld dataset provided with the tsDyn package.

GIRF is given a reduced form shock - in the example below a shock to only the second variable c(0,1). If you want to use orthoganlised shocks, you should calculate the orthogonalisation yourself and supply the reduced form shock that corresponds to your chosen structural shock. It is up to you to identify shocks; tvarGIRF won't do it for you.

library(tsDyn)
library(tvarGIRF)

# Estimate an example TVAR using the zeroyld dataset included in the tsDyn package
data(zeroyld)
exampleTVAR <- TVAR(zeroyld, lag=2, nthresh=1, thDelay=1, mTh=1, plot=FALSE)

# Calculate GIRFs for a reduced form shock to the second variable (long.run)
girfs <- GIRF(exampleTVAR, c(0,1))

The result contains the generalised impulse responses for each variable in the TVAR to the supplied shock. (NB: Since we have not identified shocks, these GIRFs are not very meaningful; this example is designed only to illustrate how to use the library.)

Documentation for this package can be found here.