Re: st: Threshold regression

["Alessandro Gambini" <a.gambini@univpm.it>]

Dear Maarten,

Thank you very much for your kind reply and for suggesting me how to 
properly formulate a question in Statalist.
I will try to formulate my question more precisely.

I would like to run a firms-sample splitting on a continously-distributed 
variable, such as firm size.
This problem in firms' growth literature is dealt in  Hansen B. (2000) 
"Sample splitting and trheshold estimation" Econometrica vol 68 pp. 575-603
and Chan KS (1993) "Consistency and Limiting distribution of the least 
squares estimator of a threshold autoregressive model", The Annals of 
Statistics, vol 21 pp. 520-533.

I have found the Stata command "threg" to "fit threshold regression model", 
which at first sight could help me in doing it, but I cannot undertand well 
the sintax and the help does not explain what the options "lnx0", "mu", 
"time", "failure" represent. Furthermore, the help of "threg" does not 
provide any reference, so I am not sure if this the right command to solve 
my problem and if yes how to use those options.

Can anyone help me in this?

Thank you.

Alessandro


----- Original Message ----- 
From: "Maarten buis" <maartenbuis@yahoo.co.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, May 07, 2009 10:28 AM
Subject: Re: st: Threshold regression


> --- On Thu, 7/5/09, Alessandro Gambini wrote:
> > I would like to run a threshold rgeression as shown in
> > Hansen (2000) in order to split my sample of firms in
> > subsamples by size. I would like to know if the Stata
> > "threg" command is the right one to do it.
>
> What the people on Statalist have in common is that they
> use Stata, but they tend to come from very different
> disciplines. As a consequence, a reference in terms of
> only an author and year of publication that is
> completely obvious in your (sub-sub-)discipline is
> probably completely meaningles to most members of this
> list. That is why the Statalist FAQ askes everybody
> to provide full references and not just an author/year
> reference (a link to that FAQ is at the bottom of every
> message on statalist).
>
> Also when refering to a user written program, you are asked
> to tell us where you got it from. This has two reasons, 1)
> we may not be able to find that program, especially if that
> user written program has not been submitted to either SSC
> or the Stata Journal, and 2) there may be multiple versions
> floating around in cyber space, and a problem someone
> reports may already have been solved in a newer version
> available from another source.
>
> -- Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/