xthreg?Stata?
xthregHansen?1999?
xthreg depvar [indepvars] [if] [in], rx(varlist) qx(varname) [thnum(#) Grid(# ) Trim(numlist) bs(numlist) thlevel(#) gen(newvarname) noreg nobslog thgiven options] depvar?indepvars
xthreg?Mata
rx(varlist)?
qx(varname)?
thnum(#)Stata 12?3thnum(1)?
grid(#)?grid(300)?
< p>trim(numlist)thnum()trim(0.01)?bs(numlist)bootstrapbootstrap?
thlevel(#)thlevel(95)?
gen(newvarname)0?1?2gen(_cat)?
noreg?
nobslogbootstrap?
thgiven?
옵션[XT ] xtreg depvar?indepvars?rx()?qx()
. hansen1999 사용
.xthreg i q1 q2 q3 d1 qd1, rx(c1) qx(d1) thnum(1 ) 트림(0.01) 그리드(400) bs(300)
.300 300) thgiven
.>LR
, columns (1 2) yline(7.35, lppattern(dash)) connect(direct) msize(small) mlabp(0) mlabs(zero) ytitle("LR 통계") xtitle("첫 번째 임계값") recast(line) name(LR21 ) nodraw
. _matplot e(LR22), columns(1 2) yline(7.35, lpattern(dash)) connect(direct ) msize(small) mlabp(0) mlabs(zero) ytitle("LR Statistics") xtitle("두 번째 임계값") recast(line) name(LR22) nodraw
.graph Combine LR21 LR22, cols (1) Gonzalo, J., M. Wol
f. 2005. 임계값 자동회귀 모델의 하위 샘플링 추론. Journal of Econometrics 127: 201-224. Hansen, B. E. 1999. 비동적 패널의 임계값 효과: Journal of Econometrics 93: 345-368. , D. N., J. P. Romano 및 M. Wolf 1999. 뉴욕: 스프링거.