[Gretl-users] Re: Finding a threshold.

Am 15.06.2023 um 10:32 schrieb Olasehinde Timmy: Hi, I'm attaching code that I wrote some years ago, implementing (parts of) "Estimation and model selection based inference in single and multiple threshold models", Jesus Gonzalo, Jean-Yves Pitarakis, Journal of Econometrics 110 (2002) 319–352. In that setup there's a separately chosen threshold series which --given the estimated threshold value(s)-- determines in each observation the regime where you currently are. If I understand your setup correctly, you want the single series X to serve both as the regressor and at the same time as the threshold series. In principle you would then have to call my function like this: estim_thresh( Y, X, X, 1) But I haven't tested if this case actually works. I guess this stuff could also be turned into a function package -- if someone wants to learn and practice how to do it, be my guest and go ahead, I have no problem that this code is used. While digging around my harddisk, I also found some prototype code for the Hansen (2000) approach, but that doesn't appear to be ready to run... Hope this helps Sven