From cottrell@wfu.edu Sat Mar 12 16:50:37 2011 From: Allin Cottrell To: gretl-users@gretlml.univpm.it Subject: Re: [Gretl-users] Threshold VAR: Coding Help Date: Sat, 12 Mar 2011 16:50:36 -0500 Message-ID: In-Reply-To: =?utf-8?q?21700=5F1299964457=5Fp2CLEG5c021904=5FAANLkTi=3DP?= =?utf-8?q?oeaGiRZfod=3D=3Dkypht-2RMvT1Gfen-q3zFMDi=40mail=2Egmail=2Ecom?= MIME-Version: 1.0 Content-Type: multipart/mixed; boundary="===============7703799114538640060==" --===============7703799114538640060== Content-Type: text/plain; charset="utf-8" Content-Transfer-Encoding: 7bit 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, otherwise 0. In that case something like the following should do it: Allin Cottrell --===============7703799114538640060==-- From henrique.coelho@gmail.com Sat Mar 12 19:48:45 2011 From: Henrique Andrade To: gretl-users@gretlml.univpm.it Subject: Re: [Gretl-users] Threshold VAR: Coding Help Date: Sat, 12 Mar 2011 21:48:14 -0300 Message-ID: In-Reply-To: Pine.A41.4.58.1103121636260.217446@f1n11.sp2net.wfu.edu Content-Type: multipart/mixed; boundary="===============1870581064347757528==" --===============1870581064347757528== Content-Type: text/html Content-Transfer-Encoding: base64 Content-Disposition: attachment; filename="attachment.html" MIME-Version: 1.0 RW0gMTIgZGUgbWFy528gZGUgMjAxMaBBbGxpbiBlc2NyZXZldTo8ZGl2Pjxicj48ZGl2IGNsYXNz PSJnbWFpbF9xdW90ZSI+PGJsb2NrcXVvdGUgY2xhc3M9ImdtYWlsX3F1b3RlIiBzdHlsZT0ibWFy Z2luOjAgMCAwIC44ZXg7Ym9yZGVyLWxlZnQ6MXB4ICNjY2Mgc29saWQ7cGFkZGluZy1sZWZ0OjFl eCI+T24gU2F0LCAxMiBNYXIgMjAxMSwgSGVucmlxdWUgQW5kcmFkZSB3cm90ZTo8YnI+CgoKCjxi 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ascending v= alues of the threshold variable, then separate regressions get run on the 2 s= ub-samples. Could this be done with an "msortby" command followed by smpl com= mands? PS ________________________________________ From: gretl-users-bounces(a)lists.wfu.edu [gretl-users-bounces(a)lists.wfu.ed= u] On Behalf Of Henrique Andrade [henrique.coelho(a)gmail.com] Sent: Saturday, March 12, 2011 6:48 PM To: Gretl list Subject: Re: [Gretl-users] Threshold VAR: Coding Help Em 12 de mar=C3=A7o de 2011 Allin escreveu: On Sat, 12 Mar 2011, Henrique Andrade wrote: > *Y(t) =3D X(t-1) + e1(t); if z(t-d)>=3Dtau* > *Y(t) =3D X(t-1) + e2(t); if z(t-d)=3D tau, otherwise 0. Dear Allin, I need that the errors (and variances) differ in each regime: Y_t =3D D1 + B1(L)Y_t + U1_t, if z(t-d) >=3D tau Y_t =3D D2 + B2(L)Y_t + U2_t, otherwise So I think I need to use the threshold values to build two data segments. To = do this I'm doing something close to your script: