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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 4 Sep 2012 10:11:35 +0100 |

As I understand it, your threshold c must be between 0 and 1. An initial value for c of 10 is way outside those bounds. What the output is telling you is that -nl- can't improve on 10, because it has tried small changes and they didn't help at all. I would try initial(a1 25 b1 -2 c 0.5 b2 2) It's also true that your initial values for other parameters need to be good guesses. Nick On Tue, Sep 4, 2012 at 10:02 AM, Ophelie Desmarais <ophelie.desmarais@googlemail.com> wrote: > 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 >> --------------------------------- >> * >> * 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/ * * 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/

**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>

**Re: 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>

**RE: st: Threshold regression using NL - How to specify indicator variable?***From:*"Hoffman, George" <ghoffman@mcw.edu>

**Re: st: Threshold regression using NL - How to specify indicator variable?***From:*Maarten Buis <maartenlbuis@gmail.com>

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

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