SMPLSplit_est: Estimation of sub-sampled data

In pdR: Threshold Model and Unit Root Tests in Cross-Section and Time Series Data

Estimation of sub-sampled data

Description

A function for estimating the subsampled data.

Usage

SMPLSplit_est(data,dep,indep,th,plot,h=1,nonpar=2)

Arguments

data	the data in either data.frame or matrix.
dep	the name of dependent variable.
indep	the name(s) of independent variable(s).
th	the name of threshold variable.
plot	=1, plot; =0, do not plot.
h	h=1, heteroskedasticity-consistent covariance; h=0, homoskedastic case.
nonpar	Indicator for non-parametric method used to estimate nuisance scale in the presence of heteroskedasticity (only relevant if h=1).Set nonpar=1 to estimate regressions using a quadratic.Set nonpar=2 to estimate regressions using an Epanechnikov kernel with automatic bandwidth.

Details

This code estimates the parameters of sub-sampled data. It generalizes the simple code of Dr. Hansen, allowing White Corrected Heteroskedastic Errors.

Value

threshold	values of threshold estimates.
est0	coefficient estimates of global data.
est.low	coefficient estimates of low regime.
est.high	coefficient estimates of high regime.
est0.info	additional information of global data.
est.joint.info	additional information of joint threshods.
est.low.info	additional information of est.low.
est.high.info	additional information of est.high.

Note

Original code offered by Dr. B. E.Hansen (http://www.ssc.wisc.edu/~bhansen/).

References

Hanse B. E. (2000) Sample Splitting and Threshold Estimation. Econometrica, 68, 575-603.

Examples

## Not run, becasue of bootstrap replicaiton takes time. Users may unmark # and run. 
data("dur_john")
rep <- 500
trim_per <- 0.15
dep <- "gdpGrowth"
indep <- colnames(dur_john)[c(2,3,4,5)]

SMPLSplit_est(data=dur_john,dep,indep,th="GDP60",plot=0,h=1,nonpar=2)

pdR documentation built on Sept. 11, 2024, 9:08 p.m.