Here, we see the same set of results in table form. In this figure, the threshold variable whose model has the lowest AIC is clearly visible on the left of the graph. For example, the criteria graph for this equation is shown below: These two views display the model selection criteria used to select the threshold variable in a line plot or a table, ordered by the selection criterion. 第三届“高级计量经济学及stata应用”研讨班上stata15.0新命令threshold所用数据Ĭriteria Graph and Table If you select View/Model Selection Summary from an estimated threshold equation you will be offered a choice of displaying a Criteria Graph or a Criteria Table: Alternatively, type threshold in the com- mand window and press Enter. from the main EViews menu, then select Threshold - Thresh- old Regressionin the Method drop-down menu. To estimate a threshold regression in EViews, select Object/New Object./Equation or Quick/Estimate Equation.
#Threshold regression eviews serial
The options page allows you specify the transition function, covariance estimation method (including various robust estimators), and optimization settings.įollowing estimation, EViews offers specialized views for the transition function and weights along with support for tests for linearity against STR alternatives and tests of no remaining nonlinearity and parameter constancy, alongside conventional tests for heteroskedasticity and serial correlation. from the main EViews menu, select THRESHOLD - Threshold Regression from the main Method dropdown menu near the bottom of the dialog, and click on the Smooth radio button in the Threshold type setting.
To estimate a smooth transition model, Quick/Estimate Equation.
EViews estimation supports several different transition functions, provides model selection tools for selecting the best threshold variable from a candidate list, and offers the ability to specify regime varying and non-varying variables and variables that appear in only one regime. STAR models, which are a special case of Smooth Transition Regression (STR) models, embed regime-dependent linear auto-regression specifications in a smooth transition nonlinear regression framework.ĮViews tools for estimation of two-regime STR models with unknown parameters for the shape and location of the smooth threshold.
#Threshold regression eviews series
Smooth Transition Autoregressive (STAR) modeling (Teräsvirta, 1994) is an extremely popular approach for nonlinear time series analysis. 新功能：Smooth Threshold Regression Estimation
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