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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
>> ---------------------------------
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