r_est: A subroutine for model()

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

A subroutine for model()

Description

This function is a subroutine for model(), estimation procedure.

Usage

r_est(y, r, trim, tt, qq1, qn1, qn, n, cf, xt, ct, thresh)

Arguments

y	vector of dependent variable.
r	numer of regime.
trim	value of trimmed percentage.
tt	length of time period.
qq1	parameter defined by as.matrix(unique(thresh)[floor(sq*nrow(as.matrix(sort(unique(thresh)))))]).
qn1	as defined by nrow(qq1).
qn	number of quantiles to examine.
n	parameter of cross-section units.
cf	special declaration, e.g. lag().
xt	regime independent variables.
ct	trace of regime dependent variables.
thresh	threshold variable.

References

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

Original code from Dr. Hansen (http://www.ssc.wisc.edu/~bhansen/).

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