model: Estimate specified panel threshold model

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

Estimate specified panel threshold model

Description

This function is the main function estimating threshold regression for function ptm()

Usage

model(r, trim, rep, it, qq1, cf, xt, ct, thresh, tt, qn1, n, qn, cc, yt, ty, k)

Arguments

r	vector of threshold estimate(s).
trim	value of trimmed percentage.
rep	number bootstrap repetition.
it	number of regime during computation, used in a for loop.
qq1	defined parameter.
cf	special declaration, e.g. lag().
xt	regime independent variables.
ct	trace of regime dependent variables.
thresh	threshold variable.
tt	length of time period.
qn1	as defined by nrow(qq1).
n	number of cross-section units.
qn	number of quantiles to examine.
cc	as defined by 2*log(1-sqrt(conf_lev)).
yt	vectorized dependent variable.
ty	trace of yt.
k	number of regime-independent independent variables.

Note

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

References

Hanse B. E. (1999) Threshold effects in non-dynamic panels: Estimation, testing and inference. Journal of Econometrics,93, 345-368.

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