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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   Tue, 4 Sep 2012 10:02:03 +0100

Dear George,

The UCLA link was very helpful - it certainly does work that way.

>> nl (y = ({a1} + {b1}*x)*(x < {c}) + ///
>>           ({a1} + {b1}*{c} + {b2}*(x-{c}))*(x >= {c})), ///
>>            initial(a1 25 b1 -2 c 10 b2 2)

For some reason, however, I am not able to estimate the thresholds.
The estimated coefficients for {c} and {b2} entirely depend on the
initial values:


Iteration 0:  residual SS =  605.2348
Iteration 1:  residual SS =  605.2348

      Source |       SS       df       MS
-------------+------------------------------         Number of obs =      1019
       Model |  472.843729     2  236.421864         R-squared     =    0.4386
    Residual |  605.234846  1016  .595703588         Adj R-squared =    0.4375
-------------+------------------------------         Root MSE      =  .7718184
       Total |  1078.07857  1018  1.05901628         Res. dev.     =  2360.938

------------------------------------------------------------------------------
           y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         /a1 |   4.862555   .3162218    15.38   0.000     4.242032    5.483077
         /b1 |   1.884921   .0682323    27.63   0.000     1.751028    2.018813
          /c |         10          .        .       .            .           .
         /b2 |          2          .        .       .            .           .
         /a2 |   .0607663   .0084165     7.22   0.000     .0442505    .0772821
------------------------------------------------------------------------------

But I am able to replicate this using another independent variable -
but I have no clue why this is behaving weird for the independent
variable I intended to use. The independent variable lies between 0
and 1, has mean 0.49 and stdev 0.38. Should there be any particular
reason why the values depend so much on the initial ones?

Thanks a lot,

O

On 4 September 2012 08:01, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Tue, Sep 4, 2012 at 1:30 AM, Hoffman, George wrote:
>> Have you looked at
>> http://www.ats.ucla.edu/stat/stata/faq/nl_optimal_knots.htm
>>
>> the general form is explained about half way done the page.
>>

>
> An alternative specification is discussed here:
> <http://www.stata.com/statalist/archive/2008-01/msg01006.html>
>
> -- Maarten
>
> ---------------------------------
> Maarten L. Buis
> WZB
> Reichpietschufer 50
> 10785 Berlin
> Germany
>
> http://www.maartenbuis.nl
> ---------------------------------
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