. use hansen1999
(The Value and Performance of U.S.Corporations (B.H.Hall & R.E.Hall, 1993))
. xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(1) trim(0.01) grid(400) bs(300)
Estimating the threshold parameters: 1st ...... Done
Threshold estimator (level = 95):
-----------------------------------------------------
model | Threshold Lower Upper
-----------+-----------------------------------------
Th-1 | 0.0154 0.0141 0.0167
-----------------------------------------------------
Threshold effect test (bootstrap = 300):
-------------------------------------------------------------------------------
Threshold | RSS MSE Fstat Prob Crit10 Crit5 Crit1
-----------+-------------------------------------------------------------------
Single | 17.7818 0.0023 35.20 0.0000 13.0421 15.6729 21.1520
-------------------------------------------------------------------------------
Fixed-effects (within) regression Number of obs = 7910
Group variable: id Number of groups = 565
R-sq: within = 0.0951 Obs per group: min = 14
between = 0.0692 avg = 14.0
overall = 0.0660 max = 14
F(7,7338) = 110.21
corr(u_i, Xb) = -0.3972 Prob > F = 0.0000
------------------------------------------------------------------------------
i | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
q1 | .0105555 .0008917 11.84 0.000 .0088075 .0123035
q2 | -.0202872 .0025602 -7.92 0.000 -.025306 -.0152683
q3 | .0010785 .0001952 5.53 0.000 .0006959 .0014612
d1 | -.0229482 .0042381 -5.41 0.000 -.031256 -.0146403
qd1 | .0007392 .0014278 0.52 0.605 -.0020597 .0035381
|
_cat#c.c1 |
0 | .0552454 .0053343 10.36 0.000 .0447885 .0657022
1 | .0862498 .0052022 16.58 0.000 .076052 .0964476
|
_cons | .0628165 .0016957 37.05 0.000 .0594925 .0661405
-------------+----------------------------------------------------------------
sigma_u | .03980548
sigma_e | .04922656
rho | .39535508 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(564, 7338) = 6.90 Prob > F = 0.0000
. xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(0 300 300) thgiven
Estimating the threshold parameters: 2nd ...... 3rd ...... Done
Threshold estimator (level = 95):
-----------------------------------------------------
model | Threshold Lower Upper
-----------+-----------------------------------------
Th-1 | 0.0154 0.0141 0.0167
Th-21 | 0.0148 0.0131 0.0163
Th-22 | 0.5364 0.5239 0.5440
Th-3 | 0.5200 0.4554 0.5278
-----------------------------------------------------
Threshold effect test (bootstrap = 0 300 300):
-------------------------------------------------------------------------------
Threshold | RSS MSE Fstat Prob Crit10 Crit5 Crit1
-----------+-------------------------------------------------------------------
Single | 17.7818 0.0023 35.20 0.0000 13.0421 15.6729 21.1520
Double | 17.7357 0.0022 20.52 0.0167 12.4046 14.4825 27.2155
Triple | 17.7158 0.0022 8.88 0.2200 11.8294 14.6452 19.7998
-------------------------------------------------------------------------------
Fixed-effects (within) regression Number of obs = 7910
Group variable: id Number of groups = 565
R-sq: within = 0.0985 Obs per group: min = 14
between = 0.0668 avg = 14.0
overall = 0.0656 max = 14
F(9,7336) = 89.05
corr(u_i, Xb) = -0.4121 Prob > F = 0.0000
------------------------------------------------------------------------------
i | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
q1 | .0103706 .000891 11.64 0.000 .008624 .0121172
q2 | -.0201185 .0025563 -7.87 0.000 -.0251295 -.0151075
q3 | .0010746 .0001949 5.51 0.000 .0006926 .0014566
d1 | -.0160041 .0045483 -3.52 0.000 -.02492 -.0070882
qd1 | .0008919 .0014256 0.63 0.532 -.0019026 .0036865
|
_cat#c.c1 |
0 | .0598482 .0053923 11.10 0.000 .0492777 .0704187
1 | .0917905 .0053786 17.07 0.000 .0812469 .1023341
2 | .1977029 .0371546 5.32 0.000 .1248692 .2705367
3 | .0409602 .0110755 3.70 0.000 .0192489 .0626714
|
_cons | .0604252 .0017825 33.90 0.000 .056931 .0639194
-------------+----------------------------------------------------------------
sigma_u | .04023707
sigma_e | .04914178
rho | .40135033 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(564, 7336) = 6.96 Prob > F = 0.0000
. xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) grid(400) bs(300 300 300)
Estimating the threshold parameters: 1st ...... 2nd ...... 3rd ...... Done
Threshold estimator (level = 95):
-----------------------------------------------------
model | Threshold Lower Upper
-----------+-----------------------------------------
Th-1 | 0.0154 0.0141 0.0167
Th-21 | 0.0154 0.0141 0.0167
Th-22 | 0.5418 0.5268 0.5473
Th-3 | 0.4778 0.4755 0.4823
-----------------------------------------------------
Threshold effect test (bootstrap = 300 300 300):
-------------------------------------------------------------------------------
Threshold | RSS MSE Fstat Prob Crit10 Crit5 Crit1
-----------+-------------------------------------------------------------------
Single | 17.7818 0.0023 35.20 0.0000 11.8091 15.7084 23.2124
Double | 17.7258 0.0022 24.97 0.0100 12.1526 15.0158 23.0159
Triple | 17.7119 0.0022 6.20 0.5300 14.8758 18.5197 34.4336
-------------------------------------------------------------------------------
Fixed-effects (within) regression Number of obs = 7910
Group variable: id Number of groups = 565
R-sq: within = 0.0987 Obs per group: min = 14
between = 0.0684 avg = 14.0
overall = 0.0667 max = 14
F(9,7336) = 89.26
corr(u_i, Xb) = -0.4072 Prob > F = 0.0000
------------------------------------------------------------------------------
i | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
q1 | .0103968 .0008909 11.67 0.000 .0086503 .0121432
q2 | -.0201183 .0025559 -7.87 0.000 -.0251286 -.0151081
q3 | .0010734 .0001949 5.51 0.000 .0006915 .0014554
d1 | -.0166801 .0045804 -3.64 0.000 -.0256589 -.0077012
qd1 | .0008845 .0014255 0.62 0.535 -.0019099 .0036788
|
_cat#c.c1 |
0 | .0587984 .0053924 10.90 0.000 .0482278 .069369
1 | .0920255 .0053928 17.06 0.000 .0814541 .1025969
2 | .1325752 .0173155 7.66 0.000 .0986318 .1665186
3 | .0419859 .0112319 3.74 0.000 .0199681 .0640037
|
_cons | .0604649 .0017873 33.83 0.000 .0569613 .0639684
-------------+----------------------------------------------------------------
sigma_u | .0400859
sigma_e | .04913619
rho | .39959759 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(564, 7336) = 6.94 Prob > F = 0.0000
.
.
. xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(3) trim(0.01 0.01 0.05) bs(300 300 300)
Estimating the threshold parameters: 1st ...... 2nd ...... 3rd ...... Done
Threshold estimator (level = 95):
-----------------------------------------------------
model | Threshold Lower Upper
-----------+-----------------------------------------
Th-1 | 0.0163 0.0136 0.0181
Th-21 | 0.0148 0.0131 0.0163
Th-22 | 0.5364 0.5239 0.5440
Th-3 | 0.5200 0.4554 0.5278
-----------------------------------------------------
Threshold effect test (bootstrap = 300 300 300):
-------------------------------------------------------------------------------
Threshold | RSS MSE Fstat Prob Crit10 Crit5 Crit1
-----------+-------------------------------------------------------------------
Single | 17.7900 0.0023 31.57 0.0000 12.6567 15.0160 22.7659
Double | 17.7357 0.0022 24.14 0.0000 10.8382 14.7167 18.7189
Triple | 17.7158 0.0022 8.88 0.2500 12.5073 15.8665 27.3023
-------------------------------------------------------------------------------
Fixed-effects (within) regression Number of obs = 7910
Group variable: id Number of groups = 565
R-sq: within = 0.0985 Obs per group: min = 14
between = 0.0668 avg = 14.0
overall = 0.0656 max = 14
F(9,7336) = 89.05
corr(u_i, Xb) = -0.4121 Prob > F = 0.0000
------------------------------------------------------------------------------
i | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
q1 | .0103706 .000891 11.64 0.000 .008624 .0121172
q2 | -.0201185 .0025563 -7.87 0.000 -.0251295 -.0151075
q3 | .0010746 .0001949 5.51 0.000 .0006926 .0014566
d1 | -.0160041 .0045483 -3.52 0.000 -.02492 -.0070882
qd1 | .0008919 .0014256 0.63 0.532 -.0019026 .0036865
|
_cat#c.c1 |
0 | .0598482 .0053923 11.10 0.000 .0492777 .0704187
1 | .0917905 .0053786 17.07 0.000 .0812469 .1023341
2 | .1977029 .0371546 5.32 0.000 .1248692 .2705367
3 | .0409602 .0110755 3.70 0.000 .0192489 .0626714
|
_cons | .0604252 .0017825 33.90 0.000 .056931 .0639194
-------------+----------------------------------------------------------------
sigma_u | .04023707
sigma_e | .04914178
rho | .40135033 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(564, 7336) = 6.96 Prob > F = 0.0000
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