r_est {pdR}

A subroutine for model()

Description

This function is a subroutine for model(), estimation procedure.

Usage

r_est(y, r, trim, tt, qq1, qn1, qn, n, cf, xt, ct, thresh)

Arguments

y

vector of dependent variable.

r

numer of regime.

trim

value of trimmed percentage.

tt

length of time period.

qq1

parameter defined by as.matrix(unique(thresh)[floor(sq*nrow(as.matrix(sort(unique(thresh)))))]).

qn1

as defined by nrow(qq1).

qn

number of quantiles to examine.

n

parameter of cross-section units.

cf

special declaration, e.g. lag().

xt

regime independent variables.

ct

trace of regime dependent variables.

thresh

threshold variable.

References

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

Original code from Dr. Hansen (http://www.ssc.wisc.edu/~bhansen/).