thr_sse: a subroutine calculating SSE

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

a subroutine calculating SSE

Description

This function is a sub-routine for model(), calculating SSE of each threshold regression.

Usage

thr_sse(y, q, r, cf, xt, ct, thresh, tt, n)

Arguments

y	parameter.
q	qq1 in model().
r	parameter.
cf	as defined in model().
xt	as defined in model().
ct	as defined in model().
thresh	as defined in model().
tt	as defined in model().
n	as defined in model().

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 Aug. 21, 2023, 5:06 p.m.