Bruce E. Hansen
"Sample splitting and threshold estimation"
Program and Data Files
This program replicates the empirical work reported in the above paper.
It contains a set of procedures for estimation and testing in threshold models. The procedures estimate a threshold regression by least squares, compute confidence intervals for the parameters, and provide asymptotic simulation tests of the null of linearity against the alternative of a threshold.
Gauss Programs and Data
Matlab Programs and Data
R Programs and Data
Link to Abstract and PDF File of Paper
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.