thrreg: thrreg: Threshold Regression Model

In mlkremer/thrreg: Threshold Regression Model

Description

thrreg estimates the threshold regression model by Hansen (2000). It is based on the source code provided by Bruce E. Hansen.

Details

thrreg provides three functions:

• thr_test_hom tests for a threshold in a linear regression under homoskedasticity.

• thr_test_het tests for a threshold in a linear regression under heteroskedasticity.

• thr_est estimates the threshold and the regression parameters of the threshold model.

Author(s)

Marcel Kremer, [e-mail]

Bruce E. Hansen, [e-mail]

References

Hansen, B. E. (2000). Sample splitting and threshold estimation. Econometrica, 68(3):575–603. https://doi.org/10.1111/1468-0262.00124. https://www.ssc.wisc.edu/~bhansen/papers/ecnmt_00.pdf.

See Also

Useful links:

• https://github.com/mlkremer/thrreg

• Report bugs at https://github.com/mlkremer/thrreg/issues

Examples

## See README.md on GitHub for a comprehensive example.

mlkremer/thrreg documentation built on May 8, 2021, 9 p.m.