model function

Estimate specified panel threshold model

This function is the main function estimating threshold regression for function ptm()

model(r, trim, rep, it, qq1, cf, xt, ct, thresh, tt, qn1, n, qn, cc, yt, ty, k)

Arguments

• r: vector of threshold estimate(s).
• trim: value of trimmed percentage.
• rep: number bootstrap repetition.
• it: number of regime during computation, used in a for loop.
• qq1: defined parameter.
• cf: special declaration, e.g. lag().
• xt: regime independent variables.
• ct: trace of regime dependent variables.
• thresh: threshold variable.
• tt: length of time period.
• qn1: as defined by nrow(qq1).
• n: number of cross-section units.
• qn: number of quantiles to examine.
• cc: as defined by 2*log(1-sqrt(conf_lev)).
• yt: vectorized dependent variable.
• ty: trace of yt.
• k: number of regime-independent independent variables.

Note

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

References

Hanse B. E. (1999) Threshold effects in non-dynamic panels: Estimation, testing and inference. Journal of Econometrics,93, 345-368.