Re: [Gretl-users] Asymmetric ECM with Gretl, is it possible ?
Is your question related to the approach suggested, among others, by Shin
et al.? If you mean this one, the answer is "yes".
Actually you simply need to decompose your series of interest into the
positive and negative partial sum processes using e.g.
smpl $i > 0 --restrict
command and estimate a single-equation ECM as usual.
Artur
Am 3. April 2012 17:42 schrieb Hanne holopainen <nevalaine1(a)gmail.com>:
Hi everybody !
I am a beginner as a user of Gretl and I would be very pleased if someone
could help me with a few details. Especially I am interested in
possibilities offered by Gretl to make an asymmetric error correction
model. I have not been able to find a way to divide my data, or in fact
explanatory variables, on the basis of their sign (positive/negative), so
that both positive and negative values of them would be in the model at the
same time . Is it possible in Gretl at all ?
Sincerely,
Hanne
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