Thanks Allin

From: Allin Cottrell <>
To: Gretl list <>
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)

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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