How to use SETAR models in gretl
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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.
KeywordsSETAR models Free and open-source software gretl
The first author gratefully acknowledges financial support from Regione Autonoma della Sardegna through Programma Master and Back. Financial support from research project ECO2010-15332 from Ministerio de Ciencia e Innovacion, and from UPV/EHU Econometrics Research Group, Basque Government grant IT-642-13, is gratefully acknowledged by the second author.
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