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 |
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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 |
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| DOI/Identification number: | 10.1007/s10614-014-9445-8 |
| Uncontrolled keywords: | SETAR models, Free and open-source software, gretl |
| Divisions: | Divisions > Division of Human and Social Sciences > School of Economics |
| Depositing User: | Federico Lampis |
| Date Deposited: | 05 Jul 2019 16:06 UTC |
| Last Modified: | 09 Dec 2022 00:02 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/75239 (The current URI for this page, for reference purposes) |
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