# [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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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. There are 5 files in this directory:
8. Hansen2000.do
9. DurlaufJohnson.dta

11. Put the files thresholdreg.ado and thresholdtest.ado in your STATA working directory.

12. ***************************************************************************

14. Stata command "thresholdreg" computes estimates and confidence intervals for threshold models.

15. In Stata, You run it by typing:

16. "thresholdreg y x, q(z) h(ind)"

17. example: thresholdreg y x1 x2, q(z) h(1)

18. The inputs are:
19. y = dependent variable
20. x = independent variables
21. z = threshold variable
22. ind = heteroskedasticity indicator
23. Set ind=0 to impose homoskedasticity assumption
24. Set ind=1 to use White-correction for heteroskedasticity (default if option omitted)

25. The program estimates a threshold regression, prints the results to the screen.
26. The program also plots a graph of the likelihood ratio process in the threshold, useful for threshold confidence interval construction.

27. *******************************************************************************

29. Stata command "thresholdtest" computes a test for a threshold in linear
30. regression allowing for heteroskedasticity.

31. In Stata, you run it by typing

32. "thresholdtest y x, q(z) trim_per(p) rep(R)"

33. The inputs are:
34. y = dependent variable
35. x = independent variables
36. z = threshold variable
37. p = percentage of sample to trim from ends, e.g. p = .15 (default value if option omitted)
38. R = number of bootstrap, e.g., R=5000 (default value if option omitted)

39. **************************************************************************

40. (3) Hansen2000.do
41. To illustrate we have provided a do file "main.do" which replicates the work reported in
42. Hansen, Bruce E. (2000) "Sample splitting and threshold estimation," Econometrica.

43. To run, type "do Hansen2000"

44. **************************************************************************

45. (4) DurlaufJohnson.dta
46. This is a data file.
47. It is the data used by Hansen (2000) taken from Durlauf and Johnson (1995)

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