Impulse Response Function of Nonlinear Time Series Models Gauss file(s) nlm_girf.g Matlab file(s) nlm_girf.m Simulate T = 1, 000 observations from the nonlinear model yt = φ1yt−1 + φ2yt−1wt + vt , wt =  1 yt−1 ≥ 0 0 yt−1 < 0. vt ∼ N(0, 1), with parameter values φ1 = 0.25 and φ2 = 0.50.

(a) Compute the generalized impulse responses for horizons of n = 10 and shocks of δ = {2, 1, −1, −2}. Interpret the results.

(b) Compare the results in part

(a) to the impulse responses of a linear model by setting φ2 = 0.0.

(c) Repeat parts

(a) and

(b) for alternative values of φ1 and φ2.