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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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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
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: (The current URI for this page, for reference purposes)
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