SMPLSplit_example: Example code for sample splitting

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

Example code for sample splitting

Description

A sample code for learning sample splitting.

Usage

SMPLSplit_example(data,dep,indep,th1,th2,trim_per,rep,plot)

Arguments

data	the data in either data.frame or matrix.
dep	the name of dependent variable.
indep	the name(s) of independent variable(s)
th1	the first threshold variable.
th2	the second threshold variable.
trim_per	trimmed percentage.
rep	nNumber of bootstrap repetitions.
plot	=1, plot; =0, do not plot.

Details

This code is the learning example for learning Hansen's econometric sample splitting. I detailed the description of each threshold stage.

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)]
#th1 <- "GDP60"
#th2 <- "Literacy"
#OUT=SMPLSplit_est(data=dur_john,dep,indep,th=th1,plot=0,h=1,nonpar=2)
#OUT$TEST
#OUT$Hypothesis
#OUT$Threshold
#stat=matrix(as.numeric(OUT$TEST),byrow = TRUE,8,2)
#colnames(stat)=c("F-Stat","P-value")
#rownames(stat)=OUT$Hypothesis
#stat

pdR documentation built on Aug. 21, 2023, 5:06 p.m.