. xtptm depr , rx(dcpi drgdp) thrvar( kgrowth) iters(0)
================ Fundamental information: ===================
Number of Regime independent variables: 0
Number of Regime dependent variables: 2
Number of individuals in panel: 10
Number of periods in panel: 15
================ Ordinary Fixed effect regression: =========
Sum of Squared Residuls: 464.9505
Stardard error of regression: 1.8355
Regression Result(ordinary standard error):
----------------------------------------------------
| Coef Std t Prob
----+-----------------------------------------------
1 | 0.6049 0.0545 11.0948 0.0000
2 | -0.1100 0.0468 -2.3524 0.0201
----------------------------------------------------
Regression Result(Robust standard error):
-----------------------------------------------------
| Coef Std_Robust t Prob
----+------------------------------------------------
1 | 0.6049 0.1014 5.9631 0.0000
2 | -0.1100 0.0534 -2.0622 0.0411
-----------------------------------------------------
================ Single threshold regession: ===================
Minimized Sum of Squared Residuals: 374.9846
Standard error of residuals: 1.6605
Threshold estimator: 8.1000
95% conf. intv. of threshold: 7.9000 8.5000
LR Critical value to test gamma=gamma0: 7.3523
Threshold regression(Ordinary Std. Error):
----------------------------------------------------
| Coef Std t prob
----+-----------------------------------------------
1 | 0.2634 0.1176 2.2400 0.0267
2 | -0.2330 0.0479 -4.8608 0.0000
3 | 0.5560 0.0556 9.9996 0.0000
4 | 0.0392 0.0692 0.5671 0.5716
----------------------------------------------------
Threshold regression(Robust Std. Error):
-----------------------------------------------------
| Coef Std_Robust t prob
----+------------------------------------------------
1 | 0.2634 0.1476 1.7849 0.0765
2 | -0.2330 0.0611 -3.8108 0.0002
3 | 0.5560 0.0994 5.5933 0.0000
4 | 0.0392 0.0713 0.5506 0.5828
-----------------------------------------------------
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: 32.6290 .
F-critical value of 90% 95% 99%:
Thresholds in single model:
8.100000381
============== Descrpitive statistic in each regime: ===========
Descriptive statistics of y-X-THR at regime : 1
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 4.2332 2.8603 0.0370 13.3000 121
2 | 2.5271 2.0317 -0.8951 10.3881 121
3 | 3.7553 3.4866 -8.9408 13.7489 121
4 | 3.7248 1.5221 0.7000 7.9000 121
----------------------------------------------------------------
Descriptive statistics of y-X-THR at regime : 2
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 7.4175 4.9190 1.9800 18.2410 29
2 | 5.4882 5.8225 -1.4742 24.2462 29
3 | 9.2289 4.0496 0.1907 19.4106 29
4 | 11.1207 1.7565 8.1000 14.9000 29
----------------------------------------------------------------
LR and Thresholds series are stored in Stata matrix: LR#
You can observe the scatter plot by: _matplot LR#, columns(1 2)
麻烦楼主给说明一下1-4估计的是哪些变量的系数,如何看待Threshold regression(Ordinary Std. Error):估计结果??????
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