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How to use SETAR models in gretl

Author

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  • Federico Lampis
  • Ignacio Díaz-Emparanza
  • Anindya Banerjee

Abstract

This paper presents a means for the diffusion of the Self-Exciting Threshold Autoregressive (SETAR) model. Based on the Hansen (Econometrica 68(3):675–603, 2000 ) methodology, we implement a function in gretl with which estimate a SETAR model. The function is provided with a nice graphical user interface that enables the average user to estimate a SETAR model and make inference easily. The function and its use is presented by means of a case study. In addition we show more functionalities of gretl in order to perform a preliminary analysis of the data. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Federico Lampis & Ignacio Díaz-Emparanza & Anindya Banerjee, 2015. "How to use SETAR models in gretl," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 231-241, August.
    • Handle: RePEc:kap:compec:v:46:y:2015:i:2:p:231-241
    DOI: 10.1007/s10614-014-9445-8
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    References listed on IDEAS

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    1. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    2. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
    3. Ryan J. Smith & J. Wilson Mixon Jr, 2006. "Teaching undergraduate econometrics with GRETL," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 1103-1107.
    4. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
    5. Giovanni Baiocchi & Walter Distaso, 2003. "GRETL: Econometric software for the GNU generation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 105-110.
    6. Lee Adkins, 2014. "Using gretl for Principles of Econometrics, 4th Edition," Economics Working Paper Series 1412, Oklahoma State University, Department of Economics and Legal Studies in Business.
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