model {pdR}

Estimate specified panel threshold model

Description

This function is the main function estimating threshold regression for function ptm()

Usage

model(r, trim, rep, it, qq1, cf, xt, ct, thresh, tt, qn1, n, qn, cc, yt, ty, k)

Arguments

r

vector of threshold estimate(s).

trim

value of trimmed percentage.

rep

number bootstrap repetition.

it

number of regime during computation, used in a for loop.

qq1

defined parameter.

cf

special declaration, e.g. lag().

xt

regime independent variables.

ct

trace of regime dependent variables.

thresh

threshold variable.

tt

length of time period.

qn1

as defined by nrow(qq1).

n

number of cross-section units.

qn

number of quantiles to examine.

cc

as defined by 2*log(1-sqrt(conf_lev)).

yt

vectorized dependent variable.

ty

trace of yt.

k

number of regime-independent independent variables.

Note

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

References

Hanse B. E. (1999) Threshold effects in non-dynamic panels: Estimation, testing and inference. Journal of Econometrics,93, 345-368.