[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