SMPLSplit_example function

Example code for sample splitting

A sample code for learning sample splitting.

latin1

SMPLSplit_example(data,dep,indep,th1,th2,trim_per,rep,plot)

Arguments

• data: the data in either data.frame or matrix.
• dep: the name of dependent variable.
• indep: the name(s) of independent variable(s)
• th1: the first threshold variable.
• th2: the second threshold variable.
• trim_per: trimmed percentage.
• rep: nNumber of bootstrap repetitions.
• plot: =1, plot; =0, do not plot.

Details

This code is the learning example for learning Hansen's econometric sample splitting. I detailed the description of each threshold stage.

Note

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

References

Hanse B. E. (2000) Sample Splitting and Threshold Estimation. Econometrica, 68, 575-603.

Examples

## Not run, becasue of bootstrap replicaiton takes time. Users may unmark # and run. 
data("dur_john")
#rep <- 500
#trim_per <- 0.15
#dep <- "gdpGrowth"
#indep <- colnames(dur_john)[c(2,3,4,5)]
#th1 <- "GDP60"
#th2 <- "Literacy"
#OUT=SMPLSplit_est(data=dur_john,dep,indep,th=th1,plot=0,h=1,nonpar=2)
#OUT$TEST
#OUT$Hypothesis
#OUT$Threshold
#stat=matrix(as.numeric(OUT$TEST),byrow = TRUE,8,2)
#colnames(stat)=c("F-Stat","P-value")
#rownames(stat)=OUT$Hypothesis
#stat