王群勇xthreg命令

1、王群勇xthreg命令Fixed-effect panel threshold model using Statahelp xthreg (SJ15-1: st0373) 需要stata13及以上版本，2015年第一期 - xthreg - Estimate fixed-effect panel threshold modelSyntax命令： xthreg depvar indepvars if in, rx(varlist) qx(varname) thnum(#) grid(#) trim(numlist) bs(numlist) thlevel(#) gen(newvarname) n

2、oreg nobslog thgiven options where depvar is the dependent variable and indepvars are the regime-independent variables.Description xthreg fits fixed-effect panel threshold models based on the method proposed by Hansen (1999). xthreg uses XT xtreg to fit the fixed-effect panel threshold model given t

3、he threshold estimator. The fixed-effect panel threshold model requires balanced panel data, which is checked automatically by xthreg. The estimation and test of the threshold effect are computed in Mata.Options： rx(varlist) is the regime-dependent variable. Time-series operators are allowed. rx() i

4、s required. qx(varname) is the threshold variable. Time-series operators are allowed. qx() is required.門限變量 thnum(#) is the number of thresholds. In the current version (Stata 13), # must be equal to or less than 3. The default is thnum(1).門限個數(shù) grid(#) is the number of grid points. grid() is used to

5、 avoid consuming too much time when computing large samples. The default is grid(300).格點數(shù) trim(numlist) is the trimming proportion to estimate each threshold. The number of trimming proportions must be equal to the number of thresholds specified in thnum(). The default is trim(0.01) for all threshol

6、ds. For example, to fit a triple-threshold model, you may set trim(0.01 0.01 0.05).一個門限，設(shè)置一個數(shù)值（0.01）；兩個門限設(shè)置兩個（0.01 0.05）；三個門限，設(shè)置三個（0.01 0.01 0.05)。 bs(numlist) is the number of bootstrap replications. If bs() is not set, xthreg does not use bootstrap for the threshold-effect test.自舉法次數(shù) thlevel(#) sp

7、ecifies the confidence level, as a percentage, for confidence intervals of the threshold. The default is thlevel(95). gen(newvarname) generates a new categorical variable with 0, 1, 2, . for each regime. The default is gen(_cat). noreg suppresses the display of the regression result. nobslog suppres

8、ses the iteration process of the bootstrap. thgiven fits the model based on previous results. options are any options available for XT xtreg. Time-series operators are allowed in depvar, indepvars, rx(), and qx().Examples Setup . use hansen1999 Estimate a single-threshold model . xthreg i q1 q2 q3 d

9、1 qd1, rx(c1) qx(d1) thnum(1) trim(0.01) grid(400) bs(300) Estimate a triple-threshold model given the estimated result above . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(0 300 300) thgiven . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) grid(400

10、) bs(300 300 300) Estimate a triple-threshold model directly . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(300 300 300)繪圖： Plot the confidence interval using likelihood-ratio (LR) statistics . _matplot e(LR21), columns(1 2) yline(7.35, lpattern(dash) connect(direct) msiz

11、e(small) mlabp(0) mlabs(zero) ytitle(LR Statistics) xtitle(First Threshold) recast(line) name(LR21) nodraw . _matplot e(LR22), columns(1 2) yline(7.35, lpattern(dash) connect(direct) msize(small) mlabp(0) mlabs(zero) ytitle(LR Statistics) xtitle(Second Threshold) recast(line) name(LR22) nodraw . graph combine LR21 LR22, cols(1)Author Qunyong Wang Institute of Statistics and Econometrics Nankai University