Am 17.03.2025 um 09:11 schrieb Riccardo (Jack) Lucchetti:
On 17/03/2025 00:01, Olivo Victor wrote:
Hello Everyone:
Is there a simple way to get and save the residuals in the Bai-Perron
and thresh_infer 0.1 packages?
For ther Bai-Perron package,
Ahem, for the record, Jack, our package is called "StrucBreak".
About thresh_infer: Thanks for the feedback; neither the basic inputs
like the specified regressor list nor auxiliary output like the
residuals are currently stored in the returned bundle, and they probably
should be in the next version of the package.
Currently, I think you can get the residuals for the estimated
two-regime model as follows:
= y - (b.whichregime==1) * lincomb(const || rhs, b.Regime1.coeff) -
(b.whichregime==2) * lincomb(const || rhs, b.Regime2.coeff)
Here, "y" stands for the name of your dependent variable series, "rhs"
stands for the list of regressors, and "b" is your chosen name for the
returned bundle from the H_thresh_estim call. Adjust the line
accordingly. All the other names and identifiers are given by the
thresh_infer package. (Except "lincomb", which is a gretl function for
doing --guess what-- a linear combination.) OK, the line is a bit long,
but quite intuitive and self-explanatory, I think. Please verify if the
result makes sense, because I haven't really tested it yet.
cheers
sven
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