Re: [Gretl-users] Threshold VAR: Coding Help

Em 12 de março de 2011 Allin <cottrell(a)wfu.edu&gt; escreveu: (...) > > But we have missing observations... How can we handle this? > I have no idea how this could work, in a time-series model with > lags. That's why I went for the combined version. Dear Allin, I made a deeper analysis in the RATS operationalization and I discovered that what it does is equivalent to put zeros at the "NA" observations: *<script>* *open** australia.gdt* * * *list Y = PAU IAU E* *series* z = normal() *scalar* tau = 1.5 *series* r1 = z(-1) >= tau *series* r2 = 1-r1 *loop foreach* i Y *series* $i_r1 = r1 * $i *series* $i_r2 = r2 * $i *endloop* * list regime1 = *_r1 list regime2 = *_r2 "VAR Regime 1" <- var 1 regime1 "VAR Regime 2" <- var 1 regime2 * *</script>* Thanks a lot for your always kindly and valuable help! Best, -- *Henrique C. de Andrade* Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge