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:

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