Re: st: Estimating the Thresholds

[sr218@bard.edu]

Thanks for the response Maarten, and also for pointing out my errors.  
I will restate it. I'm trying to find the threshold points and the way  
to find the threshold is by getting least squares estimate that  
minimizes that concentrated sum of squares. Is there a function in  
STATA that does this? This was recommended by Hansen in his atricle  
"Sample Splitting and Threshold Estimation" (2000), and Chan  
"Consistency and Limiting Distribution of the Least Squares Estimator  
of a Threshold Autoregressive (1993)". I'll try figuring out what  
fracpoly is ... thanks again.

Syed Rahman
Bard College

Quoting Maarten buis <maartenbuis@yahoo.co.uk>:


> --- sr218@bard.edu wrote:
> > I was curious as to what function (if there are any) would be
> > appropriate for estimating the thresholds in a linear regression (as
> > suggested by Hansen 1996, 2000) by minimizing the sum of errors. I
> > was thinking of using some spline function, but wasn't sure as to
> > which  one.
> Syed:
> The statalist FAQ states:
> "Please do not assume that the literature familiar to you is familiar
> to all members of Statalist. Do not refer to publications with just
> minimal details (e.g., author and date). Questions of the form "Has
> anyone implemented the heteroscedasticity under a full moon test of
> Sue, Grabbit, and Runne (1989)?" admittedly divide the world. Anyone
> who has not heard of the said test would not be helped by the full
> reference to answer the question, but they might well appreciate the
> full reference."
>
> If you want to use a spline, but don't know which one, then -fracpoly-
> might be what you are looking for.
>
> HTH,
> Maarten
>
>
>
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
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