王群勇xthreg命令

王群勇xthreg命令Fixed-effectpanelthresholdmodelusingStatahelpxthreg(SJ15-1:st0373)需要stata13及以上版本，2015年第一期----------------------------------------------------------------------------------------------------------------------xthreg--Estimatefixed-effectpanelthresholdmodelSyntax命令：xthregdepvar[indepvars][if][in],rx(varlist)qx(varname)[thnum(#)grid(#)trim(numlist)bs(numlist)thlevel(#)gen(newvarname)noregnobslogthgivenoptions]wheredepvaristhedependentvariableandindepvarsaretheregime-independentvariables.Descriptionxthregfitsfixed-effectpanelthresholdmodelsbasedonthemethodproposedbyHansen(1999).xthreguses[XT]xtregtofitthefixed-effectpanelthresholdmodelgiventhethresholdestimator.Thefixed-effectpanelthresholdmodelrequiresbalancedpaneldata,whichischeckedautomaticallybyxthreg.TheestimationandtestofthethresholdeffectarecomputedinMata.Options：rx(varlist)istheregime-dependentvariable.Time-seriesoperatorsareallowed.rx()isrequired.qx(varname)isthethresholdvariable.Time-seriesoperatorsareallowed.qx()isrequired.门限变量thnum(#)isthenumberofthresholds.Inthecurrentversion(Stata13),#mustbeequaltoorlessthan3.Thedefaultisthnum(1).门限个数grid(#)isthenumberofgridpoints.grid()isusedtoavoidconsumingtoomuchtimewhencomputinglargesamples.Thedefaultisgrid(300).格点数trim(numlist)isthetrimmingproportiontoestimateeachthreshold.Thenumberoftrimmingproportionsmustbeequaltothenumberofthresholdsspecifiedinthnum().Thedefaultistrim(0.01)forallthresholds.Forexample,tofitatriple-thresholdmodel,youmaysettrim(0.010.010.05).一个门限，设置一个数值（0.01）；两个门限设置两个（0.010.05）；三个门限，设置三个（0.010.010.05)。bs(numlist)isthenumberofbootstrapreplications.Ifbs()isnotset,xthregdoesnotusebootstrapforthethreshold-effecttest.自举法次数thlevel(#)specifiestheconfidencelevel,asapercentage,forconfidenceintervalsofthethreshold.Thedefaultisthlevel(95).gen(newvarname)generatesanewcategoricalvariablewith0,1,2,...foreachregime.Thedefaultisgen(_cat).noregsuppressesthedisplayoftheregressionresult.nobslogsuppressestheiterationprocessofthebootstrap.thgivenfitsthemodelbasedonpreviousresults.optionsareanyoptionsavailablefor[XT]xtreg.Time-seriesoperatorsareallowedindepvar,indepvars,rx(),andqx().ExamplesSetup.usehansen1999Estimateasingle-thresholdmodel.xthregiq1q2q3d1qd1,rx(c1)qx(d1)thnum(1)trim(0.01)grid(400)bs(300)Estimateatriple-thresholdmodelgiventheestimatedresultabove.xthregiq1q2q3d1qd1,rx(c1)qx(d1)thnum(3)trim(0.010.010.05)bs(0300300)thgiven.xthregiq1q2q3d1qd1,rx(c1)qx(d1)thnum(3)trim(0.010.010.05)grid(400)bs(300300300)Estimateatriple-thresholdmodeldirectly.xthregiq1q2q3d1qd1,rx(c1)qx(d1)thnum(3)trim(0.010.010.05)bs(300300300)绘图：Plottheconfidenceintervalusinglikelihood-ratio(LR)statistics._matplote(LR21),columns(12)yline(7.35,lpattern(dash))connect(direct)msize(small)mlabp(0)mlabs(zero)ytitle(LRStatistics)xtitle(FirstThreshold)recast(line)name(LR21)nodraw._matplote(LR22),columns(12)yline(7.35,lpattern(dash))connect(direct)msize(small)mlabp(0)mlabs(zero)ytitle(LRStatistics)xtitle(SecondThreshold)recast(line)name(LR22)nodraw.graphcombineLR21LR22,cols(1)AuthorQunyongWangInstituteofStatisticsandEconometricsNankaiUniversityTianjin,[e-mail]输出结果包括四个部分。第一部分输出门限估计值和自举法的结果。第二部分列表输出门限值及置信区间，Th-1代表单一门限估计值，Th-21和Th-22代表双门限回归的两个估计值，有时Th-21和Th-1相同。第三部分列出了门限检验，包括RSS、MSE、F统计量及概率值，以及10%、5%、1%的置信水平。第四部分是固定效应回归结果。