Thanks Allin

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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