这个问题以前也有人问过，但是貌似没有人回答。本人最近也在尝试门限回归模型，以下是我自己用xtptm 做出的结果，但是很多地方都看不懂。求高手解释一下这个结果的具体含义，谢谢！
指令是:xtptm CPI M0 HGLV JYE , rx(HGLV) thrvar(SHIBOR) regime(1)
================ Fundamental information: ===================
Number of Regime independent variables: 3
Number of Regime dependent variables: 1
Number of individuals in panel: 2
Number of periods in panel: 49
================ Ordinary Fixed effect regression: =========
Sum of Squared Residuls: 34.4675
Stardard error of regression: 0.6121
Regression Result(ordinary standard error):
----------------------------------------------------
| Coef Std t Prob
----+-----------------------------------------------
1 | 0.0141 0.0082 1.7199 0.0888
2 | 0.0533 0.0574 0.9282 0.3557
3 | -0.3636 0.1528 -2.3796 0.0194
4 | 0.0000 0.0000 . .
----------------------------------------------------
Regression Result(Robust standard error):
-----------------------------------------------------
| Coef Std_Robust t Prob
----+------------------------------------------------
1 | 0.0141 0.0126 1.1166 0.2671
2 | 0.0533 0.0408 1.3069 0.1945
3 | -0.3636 0.2021 -1.7987 0.0753
4 | 0.0000 0.0000 . .
-----------------------------------------------------
================ Single threshold regession: ===================
Minimized Sum of Squared Residuals: 31.0319
Standard error of residuals: 0.5840
Threshold estimator: 2.4900
95% conf. intv. of threshold: 2.3100 2.6600
LR Critical value to test gamma=gamma0: 7.3523
Threshold regression(Ordinary Std. Error):
----------------------------------------------------
| Coef Std t prob
----+-----------------------------------------------
1 | 0.0153 0.0078 1.9642 0.0526
2 | 0.0000 0.0000 . .
3 | -0.3898 0.1460 -2.6698 0.0090
4 | 0.4695 0.1421 3.3038 0.0014
5 | 0.1813 0.0680 2.6653 0.0091
----------------------------------------------------
Threshold regression(Robust Std. Error):
-----------------------------------------------------
| Coef Std_Robust t prob
----+------------------------------------------------
1 | 0.0153 0.0118 1.2999 0.1969
2 | 0.0000 0.0000 . .
3 | -0.3898 0.2084 -1.8703 0.0647
4 | 0.4695 0.1707 2.7497 0.0072
5 | 0.1813 0.0638 2.8390 0.0056
-----------------------------------------------------
Note: Critcal (Inverse CDF of LR stat): -2*ln(1-sqrt(1-alpha))
Ho: No threshold; Ha: Single threshold
Number of bootstrap: 0
F-stat & Prob: 10.0746 .
F-critical value of 90% 95% 99%:
Thresholds in single model:
2.49000001
============== Descrpitive statistic in each regime: ===========
Descriptive statistics of y-X-THR at regime : 1
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 0.2696 0.6478 -0.8000 2.6000 56
2 | 0.7989 7.2997 -18.5900 20.9000 56
3 | 1.5305 0.4802 0.8100 2.4800 56
4 | 0.1691 0.4944 -0.5463 1.7077 56
5 | 1.5305 0.4802 0.8100 2.4800 56
6 | 1.5425 0.4739 0.8100 2.4800 56
----------------------------------------------------------------
Descriptive statistics of y-X-THR at regime : 2
----------------------------------------------------------------
| Mean Std Min Max Count
----+-----------------------------------------------------------
1 | 0.2690 0.6524 -0.8000 2.6000 42
2 | 2.9067 8.9674 -18.5900 30.1100 42
3 | 3.5033 0.7912 2.4900 5.9500 42
4 | -0.0880 0.3156 -0.5463 0.6460 42
5 | 3.5033 0.7912 2.4900 5.9500 42
6 | 3.4855 0.7862 2.4900 5.9500 42
----------------------------------------------------------------
LR and Thresholds series are stored in Stata matrix: LR#
You can observe the scatter plot by: _matplot LR#, columns(1 2)
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