Re: [Gretl-users] STAR Model with Gretl
On Mon, 23 Apr 2012, Summers, Peter wrote:
AFAIK, this is one you'd have to do yourself via MLE (or GMM,
maybe?). I
think that JMulti has this class of model available from a menu or
something similar, but I've never used it.
Among the function packages you find on gretl's servewr there is a package
for estimating SETAR models by Federico Lampis and Ignacio Díaz-Emparanza.
Maybe you can use that as a starting point for your own code.
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Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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