How to use SETAR models in gretl

Lampis, F., Díaz-Emparanza, I., Banerjee, A. (2015) How to use SETAR models in gretl. Computational Economics, 46 (2). pp. 231-241. E-ISSN 0927-7099. (doi:10.1007/s10614-014-9445-8) (KAR id:75239)

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Official URL: https://doi.org/10.1007/s10614-014-9445-8

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.

Item Type:	Article
DOI/Identification number:	10.1007/s10614-014-9445-8
Uncontrolled keywords:	SETAR models, Free and open-source software, gretl
Institutional Unit:	Schools > School of Economics and Politics and International Relations > Economics
Former Institutional Unit:	Divisions > Division of Human and Social Sciences > School of Economics
Depositing User:	Federico Lampis
Date Deposited:	05 Jul 2019 16:06 UTC
Last Modified:	20 May 2025 12:41 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/75239 (The current URI for this page, for reference purposes)

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Lampis, F..

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