On 05/09/2012 11:15 PM, Allin Cottrell wrote: > On Wed, 9 May 2012, Anutechia Asongu wrote: > >> Could anyone gist me on where I could find examples of 'threshold >> regressions' in Gretl, Greene or Ramanathan practice files? > > There are no such examples in the practice files. However, there are > examples of use of the mle command in the Gretl User's Guide and I > presume that use of mle would be the preferred way of estimating a > threshold model. You just need the loglikelihood function for the > model you want to estimate. >
Perhaps it's even simpler than that, depending on what's meant with threshold regression here: If the threshold is known, you can just create a dummy variable defined as (x>threshold) and interact that dummy with x. -sven
