library(tsDyn)
library(tvarGIRF)
library(readxl)

#read the whole sample data
data1 <- read_excel("C:/Users/Desktop/data1.xlsx")

#select the external trasition variable MA2_Paper.Bill
tvn<-data1$MA2_Paper_Bill

#estimate the threshold value
# the VAR equations consist only of variable  Output,Price,Fed Funds,Paper-Bill and their lagged variable
res1 <- TVAR(data1[c(1:4)], lag=2, nthresh=2, thDelay=1, thVar = tvn, plot=FALSE) 

# select variable price as the shock
shock<-rep(0,4)
shock[2]<-1

#Generalised impulse response function for a threshold VAR
girfs <- GIRF(res1,shock,horizon = 10, H = 10, R = 50, restrict.to = NA)