On Mon, 23 Apr 2012, Summers, Peter wrote: > AFAIK, this is one you'd have to do yourself via MLE (or GMM, maybe?). I > think that JMulti has this class of model available from a menu or > something similar, but I've never used it.
Among the function packages you find on gretl's servewr there is a package for estimating SETAR models by Federico Lampis and Ignacio Díaz-Emparanza. Maybe you can use that as a starting point for your own code. -------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti --------------------------------------------------
