matlab确定位置,Hurlin 的PSTR模型包，怎样确定位置参数个数

http://www.runmycode.org/companion/view/2564

我用的是这个包

1.怎样确定位置参数个数？

2. 门限变量也是解释变量时，结果中(结果如下)的warning 是什么意思？

3. 这个包中是否能够把门限变量也作为解释变量？

我跑出的结果是这样的：其中红字部分是什么？

PLEASE CITE:

Fouquau J., Hurlin C. et Rabaud I. (2008), The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach

Economic Modelling, vol. 25(2), pp. 284-299

AND

Colletaz G. et Hurlin C. (2006), Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach

Document de Recherche LEO

Thank you

***********************

*** LINEARITY Tests ***

***********************

H0: Linear Model H1: PSTR model with at least one Threshold Variable (r=1)

Wald Tests (LM):         W = 26.939    pvalue = 0.000

Fisher Tests (LMF):      F = 7.245    pvalue = 0.000

LRT Tests (LRT):         LRT = 28.702    pvalue = 0.000

**************************************************************************

*** TESTING THE NUMBER OF REGIMES: TESTS OF NO REMAINING NON-LINEARITY ***

**************************************************************************

Initial Conditions : Assumed Number of Thresholds r = 1   Number of Regressions = 270

Initial Conditions on (c,gamma)

5.0000    4.3856

Estimation of the Model with r = 1 and m = 1 : Convergence = 1   RSS = 0.054

RSS under H1 = 0.050

Initial Conditions : Assumed Number of Thresholds r = 2   Number of Regressions = 270

Initial Conditions on (c,gamma)

6.5060    5.0000    4.3510    5.1626

Estimation of the Model with r = 2 and m = 1 : Convergence = 1   RSS = 0.037

RSS under H1 = 0.035

H0: PSTR with r = 1  against  H1: PSTR with at least r = 2

Wald Tests (LM):         W = 15.987    pvalue = 0.003

Fisher Tests (LMF):      F = 3.920    pvalue = 0.004

LRT Tests (LRT):         LRT = 16.587    pvalue = 0.002

H0: PSTR with r = 2  against  H1: PSTR with at least r = 3

Wald Tests (LM):         W = 11.522    pvalue = 0.021

Fisher Tests (LMF):      F = 2.711    pvalue = 0.031

LRT Tests (LRT):         LRT = 11.829    pvalue = 0.019

Given the choices of rmax = 2 and m = 1, the OPTIMAL (LMF criterion) NUMBER OF THRESHOLD FUNCTIONS is r = 2

**************************************

*** FINAL ESTIMATION OF PSTR MODEL ***

**************************************

Final Estimation of the Model with r = 2 and m = 1 by NLS ***

Initial Conditions on (gamma,c) :

3.2389   10.9404    4.8463    5.1317

WARNING: at least one explicative variable is used as threshold variable(这是什么意思？)

RSS = 0.037      Convergence = 1

AIC = -8.478      BIC = -8.234

Estimated slope parameter of the transition function (one for for each transition function)

3.2389   10.9404

Estimated location parameters (per column for each transition function)

4.8463    5.1317

Estimated slope parameters (per column for each transition function)

0.0027   -0.0248    0.0227

0.0141   -0.0796    0.0888

1.0235    0.0288   -0.0309

0.0455    0.0540   -0.0701

Standard Errors of estimated slope parameters corrected fo heteroskedasticity (per column for each transition function)

0.0006    0.0046    0.0032

0.0051    0.0166    0.0141

0.0596    0.0147    0.0134

0.0053    0.0392    0.0385

t-statistics based on corrected standard errors (per column for each transition function)

4.5518   -5.4346    7.1491

2.7843   -4.7910    6.3022

17.1793    1.9629   -2.3015

8.6537    1.3769   -1.8184

OUPUT: Individual Elasticities for each explicative variable (first column is the cross section identifier) are available in the excel file result1.xls

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