Thank you for your reply!

Indeed, my uploaded file, which you can't open. I just copy text from file here that you can read:

I want to build script (with loop programming) which will calculate just entire profile likelihood function in Gretl. The other estimations I can perform myself.

Here is my request formulated below:

# Model: TVECM (Threshold Vector Error Correction Model)

# Name of my variables: dependent variable - Y (Price on market 1); independent variables - X (Price on market 2) and ECT (Error correction term)

# My data sample runs from 2006:10 to 2014:08

# First, I need to generate variables "difference of Y", "difference of X", "Lagged value of ECT", "lagged value of diff_Y", and "lagged value of diff_X"

# "Lagged value of ECT" is my threshold variable - Threshold value must come from it.

# My final target is to calculate the entire profile likelihood function of ols regression and save results in a separate file (let's say "LF.gdt")

# Below is my guess how the process must be solved. Could you adjust it to my data and help me to complete it?

------------script----------------

loop i=................. --progressive --quiet

genr ...........................

ols ...............................

genr LF = $lnl

store "C:\.....\.....\......\LF.gdt" LF

endloop

Best,

Miranda

On Mon, May 18, 2015 at 12:06 PM, Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it> wrote:

On Mon, 18 May 2015, Miranda Svanidze wrote:

Hello,
I am new here.
My problem is following: I want to calculate entire profile likelihood
function (and then find maximum value) in order to find threshold estimate
and run TVECM model. Therefore I want to build script (with loop
programming) which will calculate just entire profile likelihood function
in Gretl. The other estimations I can perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of X",
"Lagged value of ECT", "lagged value of diff_Y", and "lagged value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say "LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete?
------------script----------------
loop i=2006:10..2014:08 --progressive --quiet
genr
ols
genr LF = $lnl
store "C:\.....\.....\......\LF.gdt" LF
endloop

Thank you!
Kind regards,
Miranda

I'm sorry, you'll have to be more explicit that this. Posting your complete script would be much better; from what you posted I don't understand what you're trying to do, let alone what the problem is.

-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)

Università Politecnica delle Marche
(formerly known as Università di Ancona)

r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users