Re: [Gretl-users] Threshold regressions in Practice files
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.
-sven