How to use SETAR models in gretl

Federico Lampis; Ignacio Díaz-Emparanza; Anindya Banerjee

doi:10.1007/s10614-014-9445-8

How to use SETAR models in gretl

Federico Lampis, Ignacio Díaz-Emparanza, Anindya Banerjee

Economics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	231-41
Number of pages	11
Journal	Computational Economics
Volume	46
Issue number	2
Early online date	3 May 2014
DOIs	https://doi.org/10.1007/s10614-014-9445-8
Publication status	Published - Aug 2015

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How to use SETAR models in gretl

Abstract

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