rkt: Estimation for regression kink with a time-varying threshold

In RegKink: Regression Kink with a Time-Varying Threshold

Description

This is a function estimating regression kink with a time-varying threshold.

Usage

rkt(y,x,z,q,r01,r02,r11,r12,stp1,stp2)

Arguments

y	A vector of response.
x	A vector of regressor
z	A data matrix of control variables
q	A vector of variable affecting threshold
r01	Lower bounder of parameter space for r0
r02	Upper bounder of parameter space for r0
r11	Lower bounder of parameter space for r1
r12	Upper bounder of parameter space for r1
stp1	Step used in grid search of r0
stp2	Step used in grid search of r1

Value

A list with the elements

bols	The OLS estimates when a kink effect is ignored.
bt	The regression coefficients when a kink effect is included in the model.
gammahat0	The estimated threshold of the constant one in threshold parameters.
gammahat1	The estimated threshold of the slop in threshold parameters.
sig	The sum of squred errors of the kink model.

Examples

sta <- proc.time()
##Simulated data
set.seed(12345)
n=200
x = rnorm(n)
q = rnorm(n)
rt = 0.2 - 0.5*q
z = rnorm(n)
x1 = cbind(neg.part(x-rt),pos.part(x-rt),z)
b0 =c(1,2,1)
y = b0[1]*x1[,1]+b0[2]*x1[,2]+b0[3]*x1[,3]+ rnorm(n)



# set grid search paramaters
r01 = 0
r02 = 2
stp1 = 0.1
r11 = -10
r12 = 5
stp2 = 0.1
# estimate the model with a state-dependent threshold
est1 <- rkt(y,x,z,q,r01,r02,r11,r12,stp1,stp2)

proc.time() - sta

RegKink documentation built on April 15, 2021, 9:10 a.m.