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Re: st: Threshold regression


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Threshold regression
Date   Thu, 7 May 2009 11:15:50 +0100

-findit threg- throws up nothing so I wonder where you got your
command from. I find it unlikely that that command does the estimation
from the Econometrica paper.

It is probably much better if you use Bruce Hansen's own Matlab/Gauss codes:
http://www.ssc.wisc.edu/~bhansen/progs/ecnmt_00.html

T

On Thu, May 7, 2009 at 10:46 AM, Alessandro Gambini <a.gambini@univpm.it> wrote:
> 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/
>> -----------------------------------------
>>
>>
>>
>>
>> *
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>>
>
>
> *
> *   For searches and help try:
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>



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recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
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