[Gretl-users] Threshold VAR: Coding Help

Dear Gretl Community, I'm estimating a Threshold VAR model (TVAR) like this: *Y(t) = X(t-1) + e1(t); if z(t-d)>=tau* *Y(t) = X(t-1) + e2(t); if z(t-d)<tau* Until now I was able to determine the delay parameter (*d*) and the threshold value (*tau*). But I can't see how to estimate it with the "*var*" command. Using RATS software with *australia.gdt* data I did: <RATS commands> system(model=regime1) 1 to 3 variables PAU IAU E lags 1 deterministic constant end(system) estimate(smpl=(z{d}>=tau)) system(model=regime2) 1 to 3 variables PAU IAU E lags 1 deterministic constant end(system) estimate(smpl=(z{d}<tau)) </RATS commands> The line estimate(smpl=(z{d}>=tau)) tells RATS to estimate the VAR using only the observations where the threshold variable (*z*) is equal or greater than the threshold value (*tau*). Could you please give some advice in order to "translate" these RATS code into Gretl's scripting language? Um abraço, *Henrique C. de Andrade* Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge