[Gretl-users] Help - estimation of Profile likelihood function for TVECM

Miranda Svanidze miranda.svanidze at gmail.com
Mon May 18 05:50:55 EDT 2015


Hello,
I am new here.
My problem is following: I want to calculate entire profile likelihood
function (and then find maximum value) in order to find threshold estimate
and run TVECM model. Therefore I want to build script (with loop
programming) which will calculate just entire profile likelihood function
in Gretl. The other estimations I can perform myself.
Here is my request formulated below:
# Model: TVECM (Threshold Vector Error Correction Model)
# Name of my variables: dependent variable - Y (Price on market
1); independent variables - X (Price on market 2) and ECT (Error correction
term)
# My data sample runs from 2006:10 to 2014:08
# First, I need to generate variables "difference of Y", "difference of X",
"Lagged value of ECT", "lagged value of diff_Y", and "lagged value of
diff_X"
# "Lagged value of ECT" is my threshold variable - Threshold value must
come from it.
# My final target is to *calculate the entire profile likelihood function
of ols regression and save results in a separate file* (let's say "LF.gdt")
# Below is my guess how the process must be solved. Could you adjust it to
my data and help me to complete?
------------script----------------
loop i=2006:10..2014:08 --progressive --quiet
    genr
    ols
    genr LF = $lnl
    store "C:\.....\.....\......\LF.gdt" LF
endloop

Thank you!
Kind regards,
Miranda
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