thr_sse function

a subroutine calculating SSE

This function is a sub-routine for model(), calculating SSE of each threshold regression.

thr_sse(y, q, r, cf, xt, ct, thresh, tt, n)

Arguments

• y: parameter.
• q: qq1 in model().
• r: parameter.
• cf: as defined in model().
• xt: as defined in model().
• ct: as defined in model().
• thresh: as defined in model().
• tt: as defined in model().
• n: as defined in model().

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/).