Impulse response function in AR(2) model

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Can Sever
Can Sever 2017 年 9 月 6 日
編集済み: Can Sever 2017 年 9 月 6 日
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!

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