SMPLSplit_het {pdR}

Testing for sample splitting

Description

A function for testing sample split given subsampled data.

Usage

SMPLSplit_het(data,dep,indep,th,trim_per,rep,plot)

Arguments

data

the data in either data.frame or matrix

dep

the name of dependent variable.

indep

the name(s) of independent variable(s).

th

the name of threshold variable.

trim_per

trimmed percentage.

rep

number of bootstrap repetition.

plot

=1, plot; =0, do not plot.

Details

This code tests for the presence of threshold. It generalizes the simple code of Dr. Hansen, allowing Heteroskedastic Errors (White Corrected).

Value

fstat

LM-test for no threshold.

pvalue

bootstrap P-Value.

Note

Original code offered by Dr. B. E.Hansen (http://www.ssc.wisc.edu/~bhansen/).

References

Hanse B. E. (2000) Sample Splitting and Threshold Estimation. Econometrica, 68, 575-603.