[Gretl-users] Re: Grid search

Am 31.01.2023 um 12:44 schrieb Riccardo (Jack) Lucchetti: > On Tue, 31 Jan 2023, Olasehinde Timmy wrote: > >> Dear profs., >> >> Please, I would like to know how to perform a grid search in order to >> find >> an optimal value for a threshold—for example, the threshold value to >> choose >> for the inflation rate in an asymmetric model. > > A grid search is relatively easy to perform via the "for" variant of > the loop command. ... The contributed function package SETAR.gfn by Federico Lampis & Ignacio Díaz-Emparanza might also be useful and relevant, which implements stuff from Hansen, "Sample Splitting and Threshold Estimation", Econometrica, 2000. (BTW, in the help text of the current version 1.5 I think there are some parentheses missing in the definition of the model: Y_(t)= a1*Y_(t-1)+a2*Y_(t-2)+···+ap*Y_(t-p)(Y_(t-d)<=gamma) + b1*Y_(t-1)+b2*Y_(t-2)+···+bp*Y_(t-p)(Y_(t-d)>gamma) + e_(t) ... but the meaning should be clear enough.) cheers sven _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/