r_est function

A subroutine for model()

This function is a subroutine for model(), estimation procedure.

r_est(y, r, trim, tt, qq1, qn1, qn, n, cf, xt, ct, thresh)

Arguments

• y: vector of dependent variable.
• r: numer of regime.
• trim: value of trimmed percentage.
• tt: length of time period.
• qq1: parameter defined by as.matrix(unique(thresh)[floor(sq*nrow(as.matrix(sort(unique(thresh)))))]).
• qn1: as defined by nrow(qq1).
• qn: number of quantiles to examine.
• n: parameter of cross-section units.
• cf: special declaration, e.g. lag().
• xt: regime independent variables.
• ct: trace of regime dependent variables.
• thresh: threshold variable.

References

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

Original code from Dr. Hansen (http://www.ssc.wisc.edu/~bhansen/).