SMPLSplit_het function

Testing for sample splitting

A function for testing sample split given subsampled data.

latin1

SMPLSplit_het(data,dep,indep,th,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).
• th: the name of threshold variable.
• trim_per: trimmed percentage.
• rep: number of bootstrap repetition.
• plot: =1, plot; =0, do not plot.

Returns

• fstat: LM-test for no threshold.

• pvalue: bootstrap P-Value.

Details

This code tests for the presence of threshold. It generalizes the simple code of Dr. Hansen, allowing Heteroskedastic Errors (White Corrected).

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.