stata应用高级培训教程 Panel_Threshold_Model_-_Theory_and_Application.ppt

Panel Threshold Model: Theory and Application,Threshold effect Panel threshold model Computation method Application,Threshold effect,门限效应：变量之间的关系取决于门限变量的状态，即当门限变量低于门限值或者高于门限值时，回归方程的系数也不同。以单门限模型为例。,Threshold effect,门限效应由于其直观的含义，门限模型在金融市场和宏观经济政策研究中得到广泛应用。 金融约束对企业投资的影响。是否负债率较高、较低的企业其金融约束对投资的影响存在明显差异。 一体化程度对经济增长的影响。是否收入越低的国家其经济一体化对经济增长的影响越大。 央行利率政策对通货膨胀的响应。是否低、高通货膨胀的国家其央行对通胀率的响应存在明显差异。,Threshold effect,对于门限值的检验：beta1=beta2。但是，在备择假设下多了一个未知参数gamma（称作冗余参数，nuisance parameter)。这种情况下传统的检验统计量不再有效。这种情况下的模型也一直没有得到很好的应用，直至Andrews（1983）等给出统计量的分布。 注：如果gamma为已知常数，则模型的估计与检验（Chow)与传统方法相同。,Threshold effect,Threshold effect,案例: . sysuse lifeexp . scatter lexp gnppc,Threshold effect,时间序列门限自回归模型TAR、Self-Exciting TAR等。,Panel Threshold Model Specification,单门限模型：,Panel Threshold Model Estimate beta given gamma,Panel Threshold Model Estimate gamma,Panel Threshold Model Estimate gamma,设门限序列Gamma共S个数值,Panel Threshold Model Estimate gamma,Part 1: Compute Threshold series: Quan=mm_quantile(Thr, 1, (Trim1-Trim) Trunc=Thr:=Quan1 :& Thr:=Quan2 Sethr=select(Thr,Trunc) Sethr=uniqrows(Sethr) /* ascending distinct value */,Panel Threshold Model Estimate gamma,Part 2: Estimate single threshold for (i=1;i=rows(Sethr);i+) Thtemp=Sethri dumreg(N,T,THR,Thtemp,y,IX,RX,RSS=., uf=., fe) SeRSSi=RSS minindex(SeRSS,1,loc=.,w=.) Thfinal=Sethrloc1,1 RSSfinal=SeRSSloc1,1,c dumreg(N,T,THR,Thfinal,y,IX,RX,RSS=., uf=., fe,Sigsq=.) LR=(SeRSS:-RSS)/Sigsq,Panel Threshold Model Estimate gamma,Panel Threshold Model Test Threshold Effect,Note: 第3步中，F统计量与没有关系，因此DGP中的可以任意设定。,Panel Threshold Model Test Threshold Effect,设自举次数为Iters。,Panel Threshold Model Test Threshold Effect,Part 3: Test threshold effect * Regress linear model, extact residual u(residual). * Regress single-threshold model, extract yhat,F. for (i=1;iF)/rows(Fstat) Fcrit=mm_quantile(Fstat, 1, (0.900.950.99),Panel Threshold Model Test Threshold Effect,Bootstrap number = 100 - | RSS Sig2 Fstat Prob Crit_10 Crit_5 Crit_1 -+- Threshold_0 | 464.9505 3.3692 . . . . . Threshold_1 | 382.9400 2.7353 29.9824 0.0000 9.3880 10.1582 12.6432 Threshold_2 | 373.2608 2.6661 3.6304 0.9600 15.2674 18.2482 20.7824 -,Panel Threshold Model Confidence interval,Panel Threshold Model Confidence interval,Part 4：Confidence interval /* find the location of threshold */ for (i=1; i=1; i-) if (LRicrit) break low=Thri+1 /* Upper: Minimum of ThrThreshold */ for (i=loc+1; icrit) break upp=Thri-1,Panel Threshold Model Confidence interval,Threshold estimation: Alpha = 0.0500 - | Threshold Lower Upper -+- Th_1 | 4.4565 4.4135 4.4860 -,Panel Threshold Model Model estimation,= Linear regression (fixed effect): Sum of Squared Residual: RSS = 464.9505 Standard error of regression: Se = 3.3692 R-squared: R2 = 0.4783 - | Coef Std t prob -+- drgdp | -0.1100 0.0468 -2.3524 0.0201 dcpi | 0.6049 0.0545 11.0948 0.0000 - = Threshold Regression: threshold number= 1.00 Sum of Squared Residual: RSS = 382.9400 Standard error of regression: Se = 2.8157 R-squared: R2 = 0.5703 - | Coef Std t prob -+- drgdp_1 | -0.0895 0.0519 -1.7259 0.0866 dcpi_1 | -0.0703 0.1388 -0.5067 0.6132 drgdp_2 | -0.0682 0.0659 -1.0349 0.3026 dcpi_2 | 0.5504 0.0683 8.0532 0.0000 -,Panel Threshold Model Multiple thresholds,以双门限模型为例，其他模型依此类推。,Panel Threshold Model Estimate thresholds,如果利用普通的格点搜寻，需要迭代计算（NT）2。显然，实践当中这不太可行。根据(Chong, 1994; Bai, 1997; Bai and Perron, 1998)，序贯估计具有一致性。,Panel Threshold Model Multiple thresholds,双门限模型： Step 1: 估计单门限模型 Th1 Step 2: 给定Th1，估计第二个门限值 Th21，CI Step 3: 给定Th21，重新估计第一个门限值 Th22，CI 三门限模型： Step 1: 估计双门限模型 Th21，Th22 Step 2: 给定Th21、Th22，估计第三个门限值 Th31, CI Step 3: 给定Th31、Th22，重新估计第二个门限值 Th32,CI Step 4: 给定Th31、Th32，重新估计第一个门限值 Th33,CI,Panel Threshold Model Test double threshold effect,Note:在第3步中，DGP中的为单门限模型的估计量。,Panel Threshold Model Confidence interval,Panel Threshold Model Example,Hansen(1999) . cd d:stata10panel . use hansen1999, clear . xtptm i q1-qd1, rx(c1) thrvar(d1) trim(0.01) grid(393) thnu