. xtptm y ,rx(x) thrvar(x) iters(3000) trim(0.05)
================ Fundamental information: ===================
Number of Regime independent variables: 0
Number of Regime dependent variables: 1
Number of individuals in panel: 6
Number of periods in panel: 29
================ Ordinary Fixed effect regression: =========
Sum of Squared Residuls: 739.0820
Stardard error of regression: 2.1037
Regression Result(ordinary standard error):
----------------------------------------------------
| Coef Std t Prob
----+-----------------------------------------------
1 | 0.4216 0.0233 18.0876 0.0000
----------------------------------------------------
Regression Result(Robust standard error):
-----------------------------------------------------
| Coef Std_Robust t Prob
----+------------------------------------------------
1 | 0.4216 0.0273 15.4616 0.0000
-----------------------------------------------------
================ Single threshold regession: ===================
Minimized Sum of Squared Residuals: 169.4322
Standard error of residuals: 1.0103
Threshold estimator: 29.0000
95% conf. intv. of threshold: 29.0000 29.0000
LR Critical value to test gamma=gamma0: 7.3523
Threshold regression(Ordinary Std. Error):
----------------------------------------------------
| Coef Std t prob
----+-----------------------------------------------
1 | 0.7012 0.0163 43.0440 0.0000
2 | 0.5004 0.0117 42.8418 0.0000
----------------------------------------------------
Threshold regression(Robust Std. Error):
-----------------------------------------------------
| Coef Std_Robust t prob
----+------------------------------------------------
1 | 0.7012 0.0149 47.1453 0.0000
2 | 0.5004 0.0116 43.1624 0.0000
-----------------------------------------------------
Note: Critcal (Inverse CDF of LR stat): -2*ln(1-sqrt(1-alpha))
Ho: No threshold; Ha: Single threshold
Number of bootstrap:3000
F-stat & Prob: 558.1105 0.0000
F-critical value of 90% 95% 99%:
1
+---------------+
1 | 2.864851728 |
2 | 3.913126342 |
3 | 6.992657037 |
+---------------+
Thresholds in single model:
29
============== Descrpitive statistic in each regime: ===========
Descriptive statistics of y-X-THR at regime : 1
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 30.3895 7.6025 14.0369 45.2109 134
2 | 19.8582 5.4458 10.0000 28.0000 134
3 | 19.8582 5.4458 10.0000 28.0000 134
----------------------------------------------------------------
Descriptive statistics of y-X-THR at regime : 2
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 32.4134 6.4932 21.8680 42.6598 40
2 | 31.5000 1.5359 29.0000 34.0000 40
3 | 31.5000 1.5359 29.0000 34.0000 40
----------------------------------------------------------------
LR and Thresholds series are stored in Stata matrix: LR#
You can observe the scatter plot by: _matplot LR#, columns(1 2)
数据集是