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Re: st: Threshold regression using NL - How to specify indicator variable?
From
Ophelie Desmarais <[email protected]>
To
[email protected]
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 <[email protected]> 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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