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
_______________________________________________
Gretl-users mailing list
Gretl-users@lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users