Re: [Gretl-users] Threshold regressions in Practice files
Thanks Allin
________________________________
From: Allin Cottrell <cottrell(a)wfu.edu>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Sent: Thursday, May 10, 2012 1:48 PM
Subject: Re: [Gretl-users] Threshold regressions in Practice files
On Thu, 10 May 2012, Sven Schreiber wrote:
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.
Footnote: I see that Bruce Hansen has R code available for the
sort of threshold regression he estimated in his 2000
Econometrica paper (where the threshold is unknown in advance)
http://www.ssc.wisc.edu/~bhansen/progs/ecnmt_00.html
That could be run from gretl, or the R code could be
translated to hansl. (Hansen uses least squares; it turns out
that ML is quite awkward for this sort of model.)
Allin Cottrell
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