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

 From Nick Cox To statalist@hsphsun2.harvard.edu Subject Re: st: Threshold regression using NL - How to specify indicator variable? Date Mon, 3 Sep 2012 19:56:50 +0100

```What do you mean by "doesn't work"?

An alternative is to use -cond(,)-.

On Mon, Sep 3, 2012 at 7:46 PM, Ophelie Desmarais
> Dear Nick,
>
>
> 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
>>
>>> 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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```