[Stata]汉森亲手编写的stata面板门槛程序，贡献给大家-经管之家官网！

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程序说明+附件来源

1、程序说明

1. Enclosed are Stata files to implement threshold regression and testing.<?xml:namespace prefix = "o" ns = "urn:schemas-microsoft-com:office:office" />
   
2. The primary references are
   
3. Hansen, Bruce E. (1996) "Inference when a nuisance parameter is not identified under the null hypothesis," Econometrica.
   
4. Hansen, Bruce E. (2000) "Sample splitting and threshold estimation," Econometrica.
   
5. 
   
6. 
   
7. There are 5 files in this directory:
   
8. thresholdreg.ado
   
9. thresholdtest.ado
   
10. Hansen2000.do
    
11. DurlaufJohnson.dta
    
12. readme.txt
    
13. 
    
14. Put the files thresholdreg.ado and thresholdtest.ado in your STATA working directory.
    
15. 
    
16. 
    
17. ***************************************************************************
    
18. 
    
19. (1) threshololdreg.ado
    
20. 
    
21. Stata command "thresholdreg" computes estimates and confidence intervals for threshold models.
    
22. 
    
23. In Stata, You run it by typing:
    
24. 
    
25. "thresholdreg y x, q(z) h(ind)"
    
26. 
    
27. example: thresholdreg y x1 x2, q(z) h(1)
    
28. 
    
29. 
    
30. The inputs are:
    
31. y = dependent variable
    
32. x = independent variables
    
33. z = threshold variable
    
34. ind = heteroskedasticity indicator
    
35. Set ind=0 to impose homoskedasticity assumption
    
36. Set ind=1 to use White-correction for heteroskedasticity (default if option omitted)
    
37. 
    
38. The program estimates a threshold regression, prints the results to the screen.
    
39. The program also plots a graph of the likelihood ratio process in the threshold, useful for threshold confidence interval construction.
    
40. 
    
41. 
    
42. *******************************************************************************
    
43. 
    
44. (2) thresholdtest.ado
    
45. 
    
46. Stata command "thresholdtest" computes a test for a threshold in linear
    
47. regression allowing for heteroskedasticity.
    
48. 
    
49. In Stata, you run it by typing
    
50. 
    
51. "thresholdtest y x, q(z) trim_per(p) rep(R)"
    
52. 
    
53. 
    
54. The inputs are:
    
55. y = dependent variable
    
56. x = independent variables
    
57. z = threshold variable
    
58. p = percentage of sample to trim from ends, e.g. p = .15 (default value if option omitted)
    
59. R = number of bootstrap, e.g., R=5000 (default value if option omitted)
    
60. 
    
61. 
    
62. **************************************************************************
    
63. 
    
64. (3) Hansen2000.do
    
65. To illustrate we have provided a do file "main.do" which replicates the work reported in
    
66. Hansen, Bruce E. (2000) "Sample splitting and threshold estimation," Econometrica.
    
67. 
    
68. To run, type "do Hansen2000"
    
69. 
    
70. **************************************************************************
    
71. 
    
72. (4) DurlaufJohnson.dta
    
73. This is a data file.
    
74. It is the data used by Hansen (2000) taken from Durlauf and Johnson (1995)

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