Threshold Regression Estimation

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Nano
Posts: 8
Joined: Mon Apr 01, 2013 1:11 am

Threshold Regression Estimation

Postby Nano » Mon Apr 01, 2013 2:57 am

Hello,

I want to estimate threshold regression model in which the independent variable has two coefficients instead of one.
Example if we have the regression y=α+β*x what i want is to convert it in y= α+β1*χ*d*(x<p1)+β2*x*d*(p1<x<p2)+β3*χ*d*(x>p2). d= dummy, p1 and p2 are chosen when it minimaze SSR (p1 and p2 between 1...100, and the increment is 0,5) (like file that I have attached). Would you please to give me some guides (step by step) how to estimate it in eviews? Or there are some code maybe?

Thank you in advance.
Attachments
inflation and economic growth.pdf
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