Stata固定效应面板阈值模型应用与分析.pdfVIP

TheStataJournal(2015)

15,Number1,pp.121–134

Fixed-effectpanelthresholdmodelusingStata

QunyongWang

InstituteofStatisticsandEconometrics

NankaiUniversity

Tianjin,

QunyongWang@

.Thresholdmodelsarewidelyusedinmacroeconomicsandfinancial

analysisfortheirsimpleandobviouseconomicimplications.Withthesemodels,

however,estimationandinferenceiscomplicatedbytheexistenceofnuisance

parameters.Tocombatthisissue,Hansen(1999,JournalofEconometrics93:345–

368)proposedthefixed-effectpanelthresholdmodel.Inthisarticle,Iintroduce

anewcommand(xthreg)forimplementingthismodel.IalsouseMonteCarlo

simulationstoshowthat,althoughthesizedistortionofthethreshold-effecttestis

small,thecoveragerateoftheconfidenceintervalestimatorisunsatisfactory.Iinclude

anexampleonfinancialconstraints(originallyfromHansen[1999,Journalof

Econometrics93:345–368])tofurtherdemonstratetheuseofxthreg.

Keywords:st0373,xthreg,panelthreshold,fixedeffect

1Introduction

Heterogeneityisacommonproblemofpaneldata.Thatistosay,eachindividualina

studyisdifferent,andstructuralrelationshipsmayvaryacrossindividuals.Theclassical

fixedeffectorrandomeffectreflectsonlytheheterogeneityinintercepts.Hsiao(2003)

considersmanyvaryingslopemodelsforthisproblem.Amongthesemodels,Hansen’s

(1999)panelthresholdmodelhasasimplespecificationbutobviousimplicationsfor

econ