Threshold Regression

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Dusan
Posts: 5
Joined: Mon Jan 19, 2009 4:49 am

Threshold Regression

Postby Dusan » Fri Mar 06, 2009 5:47 am

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.

startz
Non-normality and collinearity are NOT problems!
Posts: 3115
Joined: Wed Sep 17, 2008 2:25 pm

Re: Threshold Regression

Postby startz » Fri Mar 06, 2009 5:52 am

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.

Dusan
Posts: 5
Joined: Mon Jan 19, 2009 4:49 am

Re: Threshold Regression

Postby Dusan » Fri Mar 06, 2009 10:15 am

That works perfect thank u.
:D

Rosas
Posts: 1
Joined: Sun Sep 25, 2011 2:23 pm

Re: Threshold Regression

Postby Rosas » Tue Oct 18, 2011 7:18 am

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 User-defined) 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), 575-603

Any advice would be strongly welcomed. Thanks.

Dugbeh
Posts: 2
Joined: Fri Aug 11, 2017 12:51 pm

Re: Threshold Regression

Postby Dugbeh » Fri Aug 11, 2017 7:14 pm

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.

startz
Non-normality and collinearity are NOT problems!
Posts: 3115
Joined: Wed Sep 17, 2008 2:25 pm

Re: Threshold Regression

Postby startz » Fri Aug 11, 2017 7:27 pm

Perhaps lookup "threshold in the EViews help system.

Dugbeh
Posts: 2
Joined: Fri Aug 11, 2017 12:51 pm

Re: Threshold Regression

Postby Dugbeh » Sat Aug 12, 2017 10:53 am

Thanks!


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