How to use SETAR models in gretl

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  • 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.


Original languageEnglish
Pages (from-to)231-41
Number of pages11
JournalComputational Economics
Issue number2
Early online date3 May 2014
Publication statusPublished - Aug 2015