突变理论与门限效应

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

本人毕业设计，实证部分用了门限效应（Hansen，1999），想问下门限效应的理论基础是什么？好在前面章节叙述
门限效应和突变理论有什么区别和联系？
谢过~

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：门限效应 突变理论 Hansen 理论基础 毕业设计 门限效应 突变理论

十一个小时了
没人回复！

突变理论和门限效应有什么区别和联系？

For threshold models, you should refer to Tong(198*),  Chan (1990, 1992), Hansen (1996, 2000)
For breakpoint models, you should refer to Chow (196*), Bai (1997), Andrews (199*), Perron and Bai(1998)

chnlj 发表于 2009-10-19 02:56
For threshold models, you should refer to Tong(198*),  Chan (1990, 1992), Hansen (1996, 2000)
For breakpoint models, you should refer to Chow (196*), Bai (1997), Andrews (199*), Perron and Bai(1998)

以上几篇都是相关的经典文献！

threshold model 的文献我是全部看过的
hansen的threshold model 参数估计、检验中提到借鉴 breakpoint model
不过 breakpoint model 就没看了
所以，才问 两者差别和联系

The two models differ in the way the indicator (dummy variable) is defined.
For the threshold model, the indicator depends on whether the threshold variable is greater or less than the threshold value.
For the breakpoint model, the indicator depends on whether the time is before or after the break point.
The Davies problem matters for both models.
So both the tests for threshold and breakpoints take the form of supF or supWald tests.

您好！我想请教下 门限效应的理论知识 您最终找到了吗 求推荐相关文献！谢谢