This Gretl package implements the Threshold panel model and bootstrap inference for up to 2 regimes as published in Hansen's JoE (1999) article.
Gretl package URL: http://ricardo.ecn.wfu.edu/gretl/cgi-bin/current_fnfiles/Threshold_Panel.zip
This Gretl package implements the Threshold panel model and bootstrap inference for up to 2 regimes as published in Hansen's JoE (1999) article.
Gretl package URL: http://ricardo.ecn.wfu.edu/gretl/cgi-bin/current_fnfiles/Threshold_Panel.zip