From cottrell@wfu.edu Sat Mar 12 16:50:37 2011
From: Allin Cottrell <cottrell@wfu.edu>
To: gretl-users@gretlml.univpm.it
Subject: Re: [Gretl-users] Threshold VAR: Coding Help
Date: Sat, 12 Mar 2011 16:50:36 -0500
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On Sat, 12 Mar 2011, Henrique Andrade wrote:

> *Y(t) = X(t-1) + e1(t); if z(t-d)>=tau*
> *Y(t) = X(t-1) + e2(t); if z(t-d)<tau*

If it's a TVAR I _think_ it should look more like

Y_t = D1 + B1(L)Y_t + I_t*(D2 + B2(L)Y_t) + U_t

where I_t = 1 if z(t-d) >= tau, otherwise 0.

In that case something like the following should do it:

<script>
open australia.gdt
list Y = PAU IAU E
# VAR without any regime-changing
var 1 Y
# make a fake threshold
series z = normal()
scalar tau = 1.5
series r2 = z(-1) >= tau
loop foreach i Y
  series r2$i = r2 * $i(-1)
endloop
# VAR with regime changing
var 1 Y ; r2*
</script>

Allin Cottrell

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