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.
Original language | English |
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Pages (from-to) | 231-41 |
Number of pages | 11 |
Journal | Computational Economics |
Volume | 46 |
Issue number | 2 |
Early online date | 3 May 2014 |
DOIs | |
Publication status | Published - Aug 2015 |