How to use SETAR models in gretl
Research output: Contribution to journal › Article › peer-review
Colleges, School and Institutes
- University of the Basque Country
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.
|Number of pages||11|
|Early online date||3 May 2014|
|Publication status||Published - Aug 2015|