Dear gretl users, I'd like to announce some new contributed packages for estimating threshold regressions. - thresh_infer: This implements some method(s) from Bruce Hansen (2000), “Sample Splitting and Threshold Estimation”, Econometrica, vol. 68, no. 3, pp. 575-603. The target here is cross-section or time-series data. - thresh_search: This is based on parts (not all!) of Jesús Gonzalo, Jean-Yves Pitarakis, “Estimation and model selection based inference in single and multiple threshold models”, Journal of Econometrics, vol. 110 (2002), pp. 319-352. The most important point is that more than one threshold is allowed. Further explanations can be found in the help texts of the packages. If anything remains unclear, please ask here on the list (for example, in this thread). Let me also remind everyone of the existing threshold-related packages in the gretl ecosystem: - SETAR by Federico Lampis & Ignacio Díaz-Emparanza: This is a special case of the Hansen-2000 framework in the context of an autoregression. - Threshold_Panel by Artur Tarassow: As the name suggests, this is specifically for panel models (with strictly exogenous regressors as dictated by the fixed-effect framework), based on Bruce Hansen (1999), "Threshold effects in non-dynamic panels: Estimation, testing, and inference", Journal of Econometrics 93 (1999) 345-368. Hopefully I haven't forgotten anything. As always, the packages are available from the public gretl package server from within the gretl program. (File / Function packages / On server) cheers sven