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


From   Ophelie Desmarais <ophelie.desmarais@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Threshold regression using NL - How to specify indicator variable?
Date   Mon, 3 Sep 2012 19:46:11 +0100

Dear Nick,

Thanks again for your fast reply and help.

I have tried it the way you suggested, but it doesn't work - would you
mind giving me a hint on how the actual expression would look like?

nl (y = {a1=1}+{a2=1}*X*(X>{Z=1})+{a3=1}*X*(X<{Z=1})) ?

Thank you so much.

Ophelie

On 3 September 2012 19:26, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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