Threshold Regression Estimation
Posted: 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.
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.