[Gretl-users] Log-likelihood with Indicator function (IF-ELSE statement)

Good afternoon. I am running maximum likelihood using the script window. I have the need to estimate a log-likelihood that has a different functional form depending on whether the estimated value of the variable(the residual) at each observation is lower or greater than zero. In generic terms if u_i <=0 mle logl_i = f(u_i, a, b) else mle logl_i = g(u_i, a, b) endif where u_i = y_i - c0 - c1*x_1i - c_2*x_2i and the coefficients c0, c1, c2 are also under estimation, together with the variance terms a,b I am not sure how to write the mle command for this case. Since the value of the residual is itself under estimation (and so the condition to switch functional forms is not pre-determined), I am not even sure if this is feasible (starting values are of course provided for the coefficients). At worst, I could estimate the coefficients for the regressors by LS, and thus create the residual series beforehand, and then plug it in and let the mle calculate only the variance terms (which are my focus of interest). But even in this case I don't seem to be able to write correctly the IF-ELSE statement that apparently is needed. Naturally, I would prefer to have the joint estimation procedure. Any help will be really appreciated. -- Alecos Papadopoulos Athens University of Economics and Business, Greece Department of Economics cell:+30-6945-378680 fax: +30-210-8259763 skype:alecos.papadopoulos