How to use SETAR models in gretl

Federico Lampis, Ignacio Díaz-Emparanza and Anindya Banerjee

Computational Economics, 2015, vol. 46, issue 2, 241 pages

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

Keywords: SETAR models; Free and open-source software; gretl (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10614-014-9445-8

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