Impulse response functions in non-linear TVAR model cannot be easily generated from the model parameters as in linear VAR models.
We conducted our TVAR analysis using the statistical software R.
We perform estimation of TVAR model on quarterly data of the Slovak Republic, the Czech Republic and Hungary.
We estimated TVAR model using variables in the first differences but firstly we applied logarithm to non-stationary series.
The decision on the number of lags in TVAR model was based on standard information criteria.
Our results from estimated TVAR model for CE3 countries indicate that the distribution of all observations mostly prevail in the lower regime while the number of observations in upper regime is still sufficient to preserve the robustness of the results that reveal the effects of fiscal policy shocks in both recession and expansion regimes.
TVAR model estimated on the Slovak data indicates that fiscal stimuli (government spending shocks) were more effective in terms of the size of fiscal multipliers in the regime of expansion.
We fixed the threshold value to 0 and re-estimated TVAR model for all three countries.
In the paper we have analyzed effects of the fiscal policy shocks in CE3 countries by employing TVAR model.