SMPLSplit_het: Testing for sample splitting

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

Testing for sample splitting

Description

A function for testing sample split given subsampled data.

Usage

SMPLSplit_het(data,dep,indep,th,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).
th	the name of threshold variable.
trim_per	trimmed percentage.
rep	number of bootstrap repetition.
plot	=1, plot; =0, do not plot.

Details

This code tests for the presence of threshold. It generalizes the simple code of Dr. Hansen, allowing Heteroskedastic Errors (White Corrected).

Value

fstat	LM-test for no threshold.
pvalue	bootstrap P-Value.

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.

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