Re: [Gretl-users] Threshold VAR: Coding Help

Em 12 de março de 2011 Allin escreveu: On Sat, 12 Mar 2011, Henrique Andrade wrote: Dear Allin, I need that the errors (and variances) differ in each regime: Y_t = D1 + B1(L)Y_t + U1_t, if z(t-d) >= tau Y_t = 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: * <script>* *series* z = normal() *scalar* tau = 1.5 *series* r1 = z(-1) >= tau *series* r2 = 1-r1 *loop foreach* i Y *series* r1$i = zeromiss(r1 * $i) *series* r2$i = zeromiss(r2 * $i) *endloop* * list regime1 = r1PAU r1IAU r1E list regime2 = r2PAU r2IAU r2E * *</scrip>* Now I just need to estimate two separate VARs: *<script>* * "VAR regime 1"* <- *var* 1 regime1 * "VAR regime 2" <- var 1 regime2* * </scrip> * But we have missing observations... How can we handle this? Finally, I would like to make one more question. Looking at your original code, we have, in the last line, this expression: *var 1 Y ; r2**. What the symbol "*" (in r2*) means? Best regards, -- *Henrique C. de Andrade* Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge