I have two variables (a financial stress index "CISS" and output growth).
Using the tsDyn package in R, I first calculated the TVAR. paperis the time series consisting of CISS and the output growth.
tvarpaper = TVAR(paper, lag=2, nthresh=1, thDelay=2, thVar= paper[,1])
I want to calculate the impulse response functions. Having used https://github.com/MatthieuStigler/tsDyn_GIRF, this is not exactly what I want to plot. I want to plot the IRFs for the low stress and the high stress regime separately with the corresponding confidence bands.
I first thought of splitting up the sample and then calculating the IRF with the normal irf function. In the following case I tried it for the high -stress regime.
SplitUPCISS <- paper[paper[,1] > -42.9926,]
tsSplitUPCISS <- ts(SplitUPCISS)
growthUPCISS <- VAR(SplitUPCISS, p=2)
SplitUPCISSIRF <- irf(growthUPCISS, impulse="tsyCISS12", reponse="tslogygdp12")
However, I am not 100% sure since there is hardly any movement if I plot it. Do I actually still need to calculate the VAR for the split up sample since I already calculated the tvar beforehand to find out about the threshold variable?
