终于找到了这个stata程序，能跑Threshold Regression 相信需要的不是我一个人 发出来大家共享 哈哈~~~~~
另附一个Mehmet Caner and Bruce E. Hansen "Instrumental Variable Estimation of a Threshold Model"Econometric Theory, 2004 （门限回归的一篇文章） 用的程序


Installations of Software Packages for Threshold Regression (TEST VERSION)

http://sph.umd.edu/epib/faculty/mltlee/test/tr_programs.html



另附一个Mehmet Caner and Bruce E. Hansen "Instrumental Variable Estimation of a Threshold Model"Econometric Theory, 2004 （门限回归的一篇文章） 用的程序

有Matlab R Gauss版的（没有stata版的 呵呵）http://www.ssc.wisc.edu/~bhansen/progs/et_04.html






补充内容 (2013-2-8 11:40):
———————————————————————————————————————————
第一个链接地址更新为：http://sph.umd.edu/epib/faculty/mltlee/tr_programs.html
谢谢 chenp2005 的指正~！

补充内容 (2013-2-8 11:42):
How to install threshold regression software package and test datasets for STATA:
Run the following two commands in STATA:

net install stthreg,replace force from(http://sph.umd.edu/epib/faculty/mltlee/TR_codes/TR_STATA/)
net get stthreg,replace force from(http://sph.umd.edu/epib/faculty/mltlee/TR_codes/TR_STATA/)

Then, you should have installed "stthreg" package and test datasets in STATA.


Next, run the following commands to check help files for the "stthreg" package for STATA:

help stthreg
help trhr
help trpredict
help sttrkm