Thanks Sven S

From: Sven Schreiber <>
Sent: Thursday, May 10, 2012 9:48 AM
Subject: Re: [Gretl-users] Threshold regressions in Practice files

On 05/09/2012 11:15 PM, Allin Cottrell wrote:
> On Wed, 9 May 2012, Anutechia Asongu wrote:
>> Could anyone gist me on where I could find examples of 'threshold
>> regressions' in Gretl, Greene or Ramanathan practice files?
> There are no such examples in the practice files. However, there are
> examples of use of the mle command in the Gretl User's Guide and I
> presume that use of mle would be the preferred way of estimating a
> threshold model. You just need the loglikelihood function for the
> model you want to estimate.

Perhaps it's even simpler than that, depending on what's meant with
threshold regression here: If the threshold is known, you can just
create a dummy variable defined as (x>threshold)  and interact that
dummy with x.


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