IDEAS home Printed from
   My bibliography  Save this article

How to use SETAR models in gretl


  • Federico Lampis


  • Ignacio Díaz-Emparanza


  • Anindya Banerjee



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

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. 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.
    2. 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.
    3. 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.
    4. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    5. 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.
    Full references (including those not matched with items on IDEAS)


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:46:y:2015:i:2:p:231-241. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.