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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. J. Wilson Mixon Jr & Ryan J. Smith, 2006. "Teaching undergraduate econometrics with GRETL," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(7), pages 1103-1107, November.
    2. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
    3. 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.
    4. 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.
    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.
    6. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
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