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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. > * > * 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/

**Follow-Ups**:**Re: st: Threshold regression using NL - How to specify indicator variable?***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: Threshold regression using NL - How to specify indicator variable?***From:*Ophelie Desmarais <ophelie.desmarais@googlemail.com>

**Re: st: Threshold regression using NL - How to specify indicator variable?***From:*Nick Cox <njcoxstata@gmail.com>

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