[Gretl-users] Help - estimation of Profile likelihood function for TVECM

Hello, I am new here. My problem is following: I want to calculate entire profile likelihood function (and then find maximum value) in order to find threshold estimate and run TVECM model. Therefore I want to build script (with loop programming) which will calculate just entire profile likelihood function in Gretl. The other estimations I can perform myself. Here is my request formulated below: # Model: TVECM (Threshold Vector Error Correction Model) # Name of my variables: dependent variable - Y (Price on market 1); independent variables - X (Price on market 2) and ECT (Error correction term) # My data sample runs from 2006:10 to 2014:08 # First, I need to generate variables "difference of Y", "difference of X", "Lagged value of ECT", "lagged value of diff_Y", and "lagged value of diff_X" # "Lagged value of ECT" is my threshold variable - Threshold value must come from it. # My final target is to *calculate the entire profile likelihood function of ols regression and save results in a separate file* (let's say "LF.gdt") # Below is my guess how the process must be solved. Could you adjust it to my data and help me to complete? ------------script---------------- loop i=2006:10..2014:08 --progressive --quiet genr ols genr LF = $lnl store "C:\.....\.....\......\LF.gdt" LF endloop Thank you! Kind regards, Miranda