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Re: st: Threshold regression


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Threshold regression
Date   Thu, 7 May 2009 10:26:23 +0000 (GMT)

Thanks for the reference, but you still did not tell us where 
you found that program. -findit threg- did not show any 
relevant results.

Google did show a page that you may or may not have
used to find this program:
http://sph.umd.edu/epib/faculty/mltlee/test/tr_programs.html

The first line on this page invites users to contact the
author if they have any questions, and gives you the
contact details. As this does not appear to be a very 
mainstream Stata program I would guess you will be more likely
to get a knowledgable answer by contacting the author.

-- Maarten

-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


--- On Thu, 7/5/09, Alessandro Gambini <a.gambini@univpm.it> wrote:

> From: Alessandro Gambini <a.gambini@univpm.it>
> Subject: Re: st: Threshold regression
> To: statalist@hsphsun2.harvard.edu
> Date: Thursday, 7 May, 2009, 10:46 AM
> 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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> > 
> 
> 
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