王群勇xthreg命令.docx

1、王群勇xthreg命令Fixed-effect panel threshold model using Statahelp xthreg (SJ15-1: st0373) 需要stata13及以上版本，2015年第一期 - xthreg - Estimate fixed-effect panel threshold modelSyntax命令： xthreg depvar indepvars if in, rx(varlist) qx(varname) thnum(#) grid(#) trim(numlist) bs(numlist) thlevel(#) gen(newvarname) n

2、oreg nobslog thgiven options where depvar is the dependent variable and indepvars are the regime-independent variables.Description xthreg fits fixed-effect panel threshold models based on the method proposed by Hansen (1999). xthreg uses XT xtreg to fit the fixed-effect panel threshold model given t

3、he threshold estimator. The fixed-effect panel threshold model requires balanced panel data, which is checked automatically by xthreg. The estimation and test of the threshold effect are computed in Mata.Options： rx(varlist) is the regime-dependent variable. Time-series operators are allowed. rx() i

4、s required. qx(varname) is the threshold variable. Time-series operators are allowed. qx() is required.门限变量 thnum(#) is the number of thresholds. In the current version (Stata 13), # must be equal to or less than 3. The default is thnum(1).门限个数 grid(#) is the number of grid points. grid() is used to

5、 avoid consuming too much time when computing large samples. The default is grid(300).格点数 trim(numlist) is the trimming proportion to estimate each threshold. The number of trimming proportions must be equal to the number of thresholds specified in thnum(). The default is trim(0.01) for all threshol

6、ds. For example, to fit a triple-threshold model, you may set trim(0.01 0.01 0.05).一个门限，设置一个数值（0.01）；两个门限设置两个（0.01 0.05）；三个门限，设置三个（0.01 0.01 0.05)。 bs(numlist) is the number of bootstrap replications. If bs() is not set, xthreg does not use bootstrap for the threshold-effect test.自举法次数 thlevel(#) sp

7、ecifies the confidence level, as a percentage, for confidence intervals of the threshold. The default is thlevel(95). gen(newvarname) generates a new categorical variable with 0, 1, 2, . for each regime. The default is gen(_cat). noreg suppresses the display of the regression result. nobslog suppres

8、ses the iteration process of the bootstrap. thgiven fits the model based on previous results. options are any options available for XT xtreg. Time-series operators are allowed in depvar, indepvars, rx(), and qx().Examples Setup . use hansen1999 Estimate a single-threshold model . xthreg i q1 q2 q3 d

9、1 qd1, rx(c1) qx(d1) thnum(1) trim(0.01) grid(400) bs(300) Estimate a triple-threshold model given the estimated result above . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(0 300 300) thgiven . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) grid(400

10、) bs(300 300 300) Estimate a triple-threshold model directly . xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(300 300 300)绘图： Plot the confidence interval using likelihood-ratio (LR) statistics . _matplot e(LR21), columns(1 2) yline(7.35, lpattern(dash) connect(direct) msiz

11、e(small) mlabp(0) mlabs(zero) ytitle(LR Statistics) xtitle(First Threshold) recast(line) name(LR21) nodraw . _matplot e(LR22), columns(1 2) yline(7.35, lpattern(dash) connect(direct) msize(small) mlabp(0) mlabs(zero) ytitle(LR Statistics) xtitle(Second Threshold) recast(line) name(LR22) nodraw . graph combine LR21 LR22, cols(1)Author Qunyong Wang Institute of Statistics and Econometrics Nankai University Tianjin, China QunyongWang输出结果包括四个部分。第一部分输出门限估计值和自举法的结果。第二部分列表输出门限值及置信区间，Th-1代表单一门限估计值，Th-21 和Th-22代表双门限回归的两个估计值，有时Th-21和Th-1相同。第三部分列出了门限检验，包括RSS、MSE、F统计量及概率值，以及10%、5%、1%的置信水平。第四部分是固定效应回归结果。