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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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 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.
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
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.
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: Threshold Regression
Perhaps lookup "threshold in the EViews help system.
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