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### Threshold Regression

Posted: 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).

### Re: Threshold Regression

Posted: 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).

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

Posted: Fri Mar 06, 2009 10:15 am
That works perfect thank u.

### Re: Threshold Regression

Posted: 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.

### Re: Threshold Regression

Posted: 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.