- * Example generated by -dataex-. To install: ssc install dataex
- clear
- input float(r ln1018) byte(a2003 age married a2012 a2025b a2025ba a3000 xa4003)
- .0286 0 1 80 1 2 2 1 0 5
- .0286 0 0 54 1 4 3 0 1 4
- .0286 0 1 82 1 3 5 1 0 3
- .0286 0 1 29 1 5 3 1 1 2
- .0286 0 1 52 1 4 3 1 1 5
- .0286 5.70711 0 26 0 5 3 0 1 4
- .0286 0 1 84 1 2 2 1 0 3
- .0286 0 1 65 1 3 1 0 0 5
- .0286 0 1 34 1 3 3 0 1 4
- .0286 0 1 80 1 3 3 1 0 5
- .0286 0 1 84 1 3 2 0 0 5
- .0286 0 1 72 1 2 2 1 0 5
- .0286 0 1 65 1 2 3 1 1 5
- .0286 0 1 64 1 3 1 0 1 5
- .0286 0 1 53 1 3 4 1 1 5
- .0286 0 1 45 1 3 2 0 1 5
- .0286 0 1 75 1 3 2 0 0 5
- .0286 0 1 64 1 3 3 1 1 5
- .0286 0 1 75 1 2 3 1 1 5
- .0286 0 1 76 1 3 1 1 0 5
- .0286 0 1 76 1 5 2 1 1 5
- .0286 0 1 58 1 3 3 1 1 5
- .0286 0 1 39 1 3 3 0 1 4
- .0286 0 1 52 1 3 3 0 1 5
- .0286 0 1 62 1 2 1 1 1 5
- .0286 0 1 54 1 3 2 0 1 5
- .0286 0 1 48 1 1 2 0 1 5
- .0286 6.90875 1 72 1 3 3 0 0 5
- .0286 0 1 34 1 3 3 0 1 5
- .0286 0 1 72 1 4 3 1 1 5
- .0286 7.6014 1 36 1 3 2 0 1 3
- .0286 0 1 52 1 3 2 0 1 4
- .0286 0 1 72 1 2 2 1 1 3
- .0286 0 1 70 1 2 5 1 0 5
- .0286 0 1 77 1 3 4 1 0 5
- .0286 0 1 63 1 2 3 1 0 5
- .0286 0 1 49 1 3 3 1 1 1
- .0286 0 1 56 1 3 3 0 1 5
- .0286 0 1 35 1 2 3 0 1 5
- .0286 0 1 60 1 2 3 0 1 5
- .0286 0 1 57 1 4 3 1 1 4
- .0286 0 1 64 1 2 2 1 1 3
- .0286 6.11147 1 63 1 3 3 0 0 5
- .0286 0 1 58 1 2 2 0 1 4
- .0286 0 1 50 1 3 2 0 1 5
- .0286 0 1 59 1 3 3 1 1 5
- .0286 0 1 61 1 3 1 0 1 5
- .0286 0 1 49 1 2 2 1 1 3
- .0286 0 1 33 1 3 3 0 1 4
- .0286 0 1 46 1 2 4 1 1 5
- .0286 0 1 68 1 2 2 0 1 5
- .0286 0 1 62 1 2 3 1 1 5
- .0286 0 0 50 1 1 3 0 1 4
- .0286 0 1 63 1 2 2 0 1 1
- .0286 0 1 32 1 3 2 0 1 5
- .0286 7.31389 1 49 1 2 2 0 1 5
- .0286 0 0 62 1 1 2 0 1 5
- .0286 0 1 62 1 4 3 0 0 4
- .0286 0 1 51 1 2 2 0 1 3
- .0286 0 1 59 1 3 2 0 0 4
- .0286 0 0 61 1 2 2 1 1 5
- .1158 0 1 33 1 4 3 1 1 3
- .1158 0 1 63 1 2 1 0 1 5
- .0286 0 1 71 1 3 2 0 0 5
- .0286 0 1 59 0 4 2 0 1 5
- .0286 0 1 46 1 2 2 0 1 4
- .0286 0 1 39 1 5 3 0 1 5
- .0286 0 0 39 1 3 3 1 1 1
- .0286 0 1 55 1 3 3 1 1 5
- .0286 0 1 63 1 2 3 1 0 5
- .0286 7.6014 1 50 1 3 3 1 1 3
- .0286 0 1 46 1 3 3 0 1 3
- .0286 0 1 39 1 3 4 1 1 3
- .0286 0 1 54 1 3 2 1 1 5
- .0286 0 1 70 1 3 3 1 0 5
- .0286 0 1 72 1 2 3 1 1 4
- .0286 0 1 50 1 2 3 0 1 1
- .0286 0 1 64 1 2 1 0 1 5
- .0286 0 0 30 1 3 3 0 0 4
- .0286 0 1 70 1 3 3 1 0 5
- .0445 0 0 26 1 4 3 0 1 4
- .0286 0 1 38 1 3 2 0 1 4
- .0286 0 0 79 1 2 2 0 0 5
- .0286 0 1 55 1 4 3 0 1 5
- .0286 8.69968 1 65 1 2 1 0 1 5
- .1177 8.51739 1 34 1 7 1 0 1 3
- .0286 7.17089 1 70 1 2 2 1 1 5
- .0286 0 1 50 1 3 2 0 1 5
- .0286 0 0 57 1 4 3 1 1 5
- .0286 0 1 43 1 2 4 1 0 5
- .0286 0 1 63 1 2 4 1 0 3
- .0286 0 1 65 1 1 3 0 1 3
- .0286 0 1 41 1 2 1 0 1 4
- .0286 0 1 57 1 3 3 0 1 5
- .0286 0 1 77 1 1 4 1 1 5
- .0286 0 1 64 1 3 3 1 0 5
- .0286 0 1 52 1 3 4 1 1 4
- .0286 0 1 60 1 3 3 1 1 5
- .0286 0 1 68 1 2 3 1 1 3
- .0286 0 1 47 1 4 3 0 1 4
- end
这是我的回归命令:
- thresholdreg r ln1018 a2003 age married a2012 a2025b a2025ba a3000 xa4003,q(ln1018) h(1)
我采用2015年数据进行截面门槛回归,但是有几个问题不太明白:(1)回归系数对应的T值或P值在哪里看呢?
(2)最后回归的low和high分别代表什么?
(3)多重门槛请问怎么做呢?我看了Hansen的例子,可能英文不好,加上自己科研水平不够,还是不太理解,请大家多多指教下
这是回归出来的样子:
Global OLS Estimation, Without Threshold
______________________________________________________________________
Heteroskedasticity Correction Used
______________________________________________________________________
Independent Variables Estimate St Error
______________________________________________________________________
Intercept .065046376 .009492068
ln1018 .001061967 .000352544
a2003 .00893036 .002001792
age -.000256916 .000080045
married -.008186062 .00662861
a2012 .003088558 .000970931
a2025b -.001189329 .000986258
a2025ba .003970216 .001958885
a3000 -.005106709 .002267095
xa4003 -.004724452 .000947675
Observations: 797
Degrees of Freedom: 787
Sum of Squared Errors: .457000548
Residual Variance: .000580687
R-squared: .175029396
Heteroskedasticity Test (P-Value): 5.5600e-12
Threshold Estimation
______________________________________________________________________
Threshold Estimate: 9.21043968
.95 Confidence Iterval: [9.21043968,9.21043968]
Sum of Squared Errors .422442816
Residual Variance: .000543684
Joint R-Squared: .2374125
Heteroskedasticity Test (p-value):5.5600e-12
______________________________________________________________________
Regime1 q<=9.21043968
Parameter Estimates
______________________________________________________________________
Independent Variables Estimate St Error
______________________________________________________________________
Intercept .062097321 .009514743
ln1018 .000448005 .000341861
a2003 .008752416 .001766299
age -.000239126 .0000779
married -.00530558 .006833087
a2012 .003141701 .000983854
a2025b -.001075518 .000962181
a2025ba .002739841 .001879668
a3000 -.006391798 .002261464
xa4003 -.004578459 .000928589
.95 Confidence Regions for Parameters.
Independent Variables Low High
______________________________________________________________________
Intercept .043448425 .080746217
ln1018 -.000222043 .001118053
a2003 .005290471 .012214362
age -.00039181 -.000086442
married -.018698431 .008087271
a2012 .001213348 .005070054
a2025b -.002961392 .000810356
a2025ba -.000944308 .006423991
a3000 -.010824268 -.001959327
xa4003 -.006398493 -.002758425
Observations: 775
Degrees of Freedom: 765
Sum of Squared Errors: .409239655
Residual Variance: .000534954
R-squared: .141513303
Regime2 q>9.21043968
Parameter Estimates
______________________________________________________________________
Independent Variables Estimate St Error
______________________________________________________________________
Intercept .379492707 .164665839
ln1018 -.016738366 .012649614
a2003 .030115711 .012761268
age -.000584664 .000748087
married -.043577109 .024545907
a2012 -.014031565 .006071322
a2025b -.014079241 .008843781
a2025ba .04003956 .016793729
a3000 .044193006 .019945852
xa4003 -.014534836 .004668547
.95 Confidence Regions for Parameters.
Independent Variables Low High
______________________________________________________________________
Intercept .056747663 .702237751
ln1018 -.04153161 .008054877
a2003 .005103625 .055127797
age -.002050915 .000881586
married -.091687088 .004532869
a2012 -.025931357 -.002131774
a2025b -.031413051 .003254569
a2025ba .007123851 .072955268
a3000 .005099135 .083286877
xa4003 -.023685188 -.005384484
Observations: 22
Degrees of Freedom: 12
Sum of Squared Errors: .013203162
Residual Variance: .001100263
R-squared: .644671615
.