matlab门槛回归,门槛回归（Hansen's Threshold Regression)

Enclosed are Stata files to implement threshold regression and

testing.

The primary references are

Hansen, Bruce E. (1996) "Inference when a nuisance parameter

is not identified under the null hypothesis," Econometrica.

Hansen, Bruce E. (2000) "Sample splitting and threshold

estimation," Econometrica.

There are 5 files in this directory:

thresholdreg.ado

thresholdtest.ado

Hansen2000.do

DurlaufJohnson.dta

readme.txt

Put the files thresholdreg.ado and thresholdtest.ado in your

STATA working directory.

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(1) threshololdreg.ado

Stata command "thresholdreg" computes

estimates and confidence intervals for threshold

models.

In Stata, You run it by typing:

"thresholdreg y x, q(z) h(ind)"

example: thresholdreg y x1 x2, q(z) h(1)

The inputs are:

y = dependent variable

x = independent variables

z = threshold variable

ind = heteroskedasticity indicator

Set

ind=0 to impose homoskedasticity assumption

Set

ind=1 to use White-correction for heteroskedasticity (default if

option omitted)

The program estimates a threshold regression, prints the

results to the screen.

The program also plots a graph of the likelihood ratio process

in the threshold, useful for threshold confidence interval

construction.

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(2) thresholdtest.ado

Stata command "thresholdtest" computes a

test for a threshold in linear

regression allowing for heteroskedasticity.

In Stata, you run it by typing

"thresholdtest y x, q(z) trim_per(p)

rep(R)"

The inputs are:

y = dependent variable

x = independent variables

z = threshold variable

p = percentage of sample to trim from ends,

e.g. p = .15 (default value if option omitted)

R = number of bootstrap, e.g., R=5000

(default value if option omitted)

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(3) Hansen2000.do

To illustrate we have provided a do file "main.do" which

replicates the work reported in

Hansen, Bruce E. (2000) "Sample splitting and threshold

estimation," Econometrica.

To run, type "do Hansen2000"

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(4) DurlaufJohnson.dta

This is a data file.

It is the data used by Hansen (2000) taken

from Durlauf and Johnson (1995)