Re: st: Estimating the Thresholds

[Steven Samuels <samplerx@earthlink.net>]

Syed, to keep in good graces with the list, you might want to read  
the statalist FAQ and then immediately repost with 1) a description  
of your problem; 2) references that include the journal citation and  
page numbers?  That said, stata's "nl" command with an appropriately  
robust standard error will solve quite general problems.

Regards,

Steven

On Dec 1, 2006, at 10:02 AM, sr218@bard.edu wrote:


> 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
> > Vrije Universiteit Amsterdam
> > Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
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