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Re: st: Threshold regression using NL - How to specify indicator variable?


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Threshold regression using NL - How to specify indicator variable?
Date   Mon, 3 Sep 2012 19:26:08 +0100

You don't need an explicit operator or function for indicators. (X <
Z) is perfectly legitimate Stata code and such terms can be included
freely in defining models to -nl-. Drop the I's from your expression
and you are half-way there.

Nick

On Mon, Sep 3, 2012 at 7:03 PM, Ophelie Desmarais
<ophelie.desmarais@googlemail.com> wrote:

> I would like to create a simple non-linear threshold regression:
>
> y = a1+a2*X*I(X>Z)+a3*X*I(X<Z)
>
> where in the linear case a2=a3. Z is unknown and to be estimated.
>
> Is there anyway to do this with Stata's "nl" command? The tutorial
> suggests that you can run relatively straightforward models like:  nl
> (y = {b0=1}*(1 - exp(-1*{b1=0.1}*x)))
>
> i.e. you just define the functional form in command line. But I am not
> aware of an operator for an indicator variable, so I'm not sure how to
> do this here.
>
> Any suggestions would be appreciated - I did check the previous posts
> and run a Google search, but no success.
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