|
这个问题以前也有人问过，但是貌似没有人回答。本人最近也在尝试门限回归模型，以下是我自己用xtptm 做出的结果，但是很多地方都看不懂。求高手解释一下这个结果的具体含义，谢谢！
指令是:xtptm CPI M0 HGLV JYE , rx(HGLV) thrvar(SHIBOR) regime(1)
================ Fundamental information: =================== Number of Regime independent variables: 3 Number of Regime dependent variables: 1 Number of individuals in panel: 2 Number of periods in panel: 49 ================ Ordinary Fixed effect regression: ========= Sum of Squared Residuls: 34.4675 Stardard error of regression: 0.6121 Regression Result(ordinary standard error): ---------------------------------------------------- | Coef Std t Prob ----+----------------------------------------------- 1 | 0.0141 0.0082 1.7199 0.0888 2 | 0.0533 0.0574 0.9282 0.3557 3 | -0.3636 0.1528 -2.3796 0.0194 4 | 0.0000 0.0000 . . ---------------------------------------------------- Regression Result(Robust standard error): ----------------------------------------------------- | Coef Std_Robust t Prob ----+------------------------------------------------ 1 | 0.0141 0.0126 1.1166 0.2671 2 | 0.0533 0.0408 1.3069 0.1945 3 | -0.3636 0.2021 -1.7987 0.0753 4 | 0.0000 0.0000 . . ----------------------------------------------------- ================ Single threshold regession: =================== Minimized Sum of Squared Residuals: 31.0319 Standard error of residuals: 0.5840 Threshold estimator: 2.4900 95% conf. intv. of threshold: 2.3100 2.6600 LR Critical value to test gamma=gamma0: 7.3523 Threshold regression(Ordinary Std. Error): ---------------------------------------------------- | Coef Std t prob ----+----------------------------------------------- 1 | 0.0153 0.0078 1.9642 0.0526 2 | 0.0000 0.0000 . . 3 | -0.3898 0.1460 -2.6698 0.0090 4 | 0.4695 0.1421 3.3038 0.0014 5 | 0.1813 0.0680 2.6653 0.0091 ---------------------------------------------------- Threshold regression(Robust Std. Error): ----------------------------------------------------- | Coef Std_Robust t prob ----+------------------------------------------------ 1 | 0.0153 0.0118 1.2999 0.1969 2 | 0.0000 0.0000 . . 3 | -0.3898 0.2084 -1.8703 0.0647 4 | 0.4695 0.1707 2.7497 0.0072 5 | 0.1813 0.0638 2.8390 0.0056 ----------------------------------------------------- Note: Critcal (Inverse CDF of LR stat): -2*ln(1-sqrt(1-alpha)) Ho: No threshold; Ha: Single threshold Number of bootstrap: 0 F-stat & Prob: 10.0746 . F-critical value of 90% 95% 99%: Thresholds in single model: 2.49000001 ============== Descrpitive statistic in each regime: =========== Descriptive statistics of y-X-THR at regime : 1 ---------------------------------------------------------------- | Mean Std Min Max Count ----+----------------------------------------------------------- 1 | 0.2696 0.6478 -0.8000 2.6000 56 2 | 0.7989 7.2997 -18.5900 20.9000 56 3 | 1.5305 0.4802 0.8100 2.4800 56 4 | 0.1691 0.4944 -0.5463 1.7077 56 5 | 1.5305 0.4802 0.8100 2.4800 56 6 | 1.5425 0.4739 0.8100 2.4800 56 ---------------------------------------------------------------- Descriptive statistics of y-X-THR at regime : 2 ---------------------------------------------------------------- | Mean Std Min Max Count ----+----------------------------------------------------------- 1 | 0.2690 0.6524 -0.8000 2.6000 42 2 | 2.9067 8.9674 -18.5900 30.1100 42 3 | 3.5033 0.7912 2.4900 5.9500 42 4 | -0.0880 0.3156 -0.5463 0.6460 42 5 | 3.5033 0.7912 2.4900 5.9500 42 6 | 3.4855 0.7862 2.4900 5.9500 42 ---------------------------------------------------------------- LR and Thresholds series are stored in Stata matrix: LR# You can observe the scatter plot by: _matplot LR#, columns(1 2)
| 
发帖
雷达卡
加好友,备注jltj
京公网安备 11010802022788号
论坛法律顾问：王进律师
知识产权保护声明
免责及隐私声明
