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xtthres 命令 连老师做了个一个help文件，可以先看一下。

{2006.4.16}----------------------------------------------------------------------------------------
help for xtthres                                                                     version1.1   



Estimate Panel Threshold Model

xtthres depvarlist [if exp] [in range] [, thres(varname) dthres(varname) qn(#) bs1(#)
bs2(#) bs3(#) levle(#) minobs(#) ]

xtthres is for use with panel data.  You must tsset your data before using xtthres; see help
tsset xt.

xtthres shares the features of all estimation commands; see help estcom.


Description

xtthres fits static panel threshold model with fixed effects, which is first developed by
B.E.,Hansen (1999).
After estimating the model using xtthres, you can use xttr_graph to draw graphs for each
model so as to see the construction of confidence intervials of r_hat.


Options

thres(varname) specifies threshold variable, as denoted by q_it in Hansen(1999).  Note that
this option should not be omitted.

dthres(varname) specifies the variable that will show threshold effects, as denoted by x_it
in Hansen(1999). This variable will be multipled by the indicator function I(.).  Note
that this option should not be omitted either.

qn(#) specifies the number of distinct values to be search in finding out the optimal
estimate of threshold effects, r_hat, which will minimize the sum of square residuals of
the model.  The default value is 400.

bs1(#), bs2(#), bs3(#) specify the Bootstrap times in single threshold, double threshold and
triple threshold model respectively. The default values are all 300.

level(#) specifies the confidence level, in percent, for confidence intervals.  The default
is level(95) or as set by set level; see help level.

minobs specifies the minimum number of observations in each of the regimes when searching for
r_hats.  The default is 10.


Examples

. xtthres tobin size tang prof, th(grow) d(tl)
. xtthres tobin size tang prof, th(grow) d(tl) bs2(200) bs3(100) minobs(30)
. xtthres tobin size tang prof if year<=2001, th(grow) d(tl) qn(200)


Also see

Online:  help for xttr_graph, tsset, xt, bs.