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st: RE: Estimating the Thresholds
Syed - I don't know if this helps you, but -qreg- (median regression)
minimizes the sum of absolute errors (clearly you can't minimize the sum
of errors).
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
[email protected]
Sent: Thursday, November 30, 2006 11:34 PM
To: [email protected]
Subject: st: Estimating the Thresholds
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.
I've tried searching online, and that doesn't help. I haven't been able
to get in touch with anyone who deals with this either. If anyone has
any words of wisdom ...
Syed Rahman
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