Hello,
I have a basic regression model and I want to import a threshold price, so that the independent variable has two coefficients instead of one.
For example if we have the regression y=α+β*x what i want is to convert it in y= α+β*χ(if x>5)+γ*x(if x<5).
Thank you in advance.
Threshold Regression
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 Nonnormality and collinearity are NOT problems!
 Posts: 3120
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Threshold Regression
Dusan wrote:Hello,
I have a basic regression model and I want to import a threshold price, so that the independent variable has two coefficients instead of one.
For example if we have the regression y=α+β*x what i want is to convert it in y= α+β*χ(if x>5)+γ*x(if x<5).
Thank you in advance.
Code: Select all
ls y c x*(x>5) x*(x<5)
The trick is that a logical condition yields a 1 if true and a 0 if false.
Re: Threshold Regression
That works perfect thank u.
Re: Threshold Regression
In connection with the problem presented by Dusan, is it possible to perform a similar estimation where the threshold level is endogenously determined (and not Userdefined) along with the model's coefficients (single independent variable plus a constant)? Is there a simple procedure for estimating such a model by using Eviews?
Bibliographical reference: Prof. Bruce Hansen's ‘Sample splitting and threshold estimation’, Econometrica, Vol.3 Nº 68 (May 2000), 575603
Any advice would be strongly welcomed. Thanks.
Bibliographical reference: Prof. Bruce Hansen's ‘Sample splitting and threshold estimation’, Econometrica, Vol.3 Nº 68 (May 2000), 575603
Any advice would be strongly welcomed. Thanks.
Re: Threshold Regression
Hi,
Concerning Threshold regression, I want to replicate a result of a study on inflation and growth but I am new to software packages. I would be happy if anyone can help me with the steps involve in finding the threshold at which inflation spurs or hurts growth.
Thanks in advance.
Concerning Threshold regression, I want to replicate a result of a study on inflation and growth but I am new to software packages. I would be happy if anyone can help me with the steps involve in finding the threshold at which inflation spurs or hurts growth.
Thanks in advance.

 Nonnormality and collinearity are NOT problems!
 Posts: 3120
 Joined: Wed Sep 17, 2008 2:25 pm
Re: Threshold Regression
Perhaps lookup "threshold in the EViews help system.
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