http://www.runmycode.org/companion/view/2564
我用的是這個包
1.怎樣確定位置參數個數？
2. 門限變量也是解釋變量時，結果中(結果如下)的warning 是什么意思？
3. 這個包中是否能夠把門限變量也作為解釋變量？
我跑出的結果是這樣的：其中紅字部分是什么？
PLEASE CITE:
Fouquau J., Hurlin C. et Rabaud I. (2008), The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach
Economic Modelling, vol. 25(2), pp. 284-299
AND
Colletaz G. et Hurlin C. (2006), Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Document de Recherche LEO
Thank you
***********************
*** LINEARITY Tests ***
***********************
H0: Linear Model H1: PSTR model with at least one Threshold Variable (r=1)
Wald Tests (LM):? ?? ?? ?W = 26.939? ? pvalue = 0.000
Fisher Tests (LMF):? ?? ?F = 7.245? ? pvalue = 0.000
LRT Tests (LRT):? ?? ?? ?LRT = 28.702? ? pvalue = 0.000
**************************************************************************
*** TESTING THE NUMBER OF REGIMES: TESTS OF NO REMAINING NON-LINEARITY ***
**************************************************************************
Initial Conditions : Assumed Number of Thresholds r = 1? ?Number of Regressions = 270
Initial Conditions on (c,gamma)
5.0000? ? 4.3856
Estimation of the Model with r = 1 and m = 1 : Convergence = 1? ?RSS = 0.054
RSS under H1 = 0.050
Initial Conditions : Assumed Number of Thresholds r = 2? ?Number of Regressions = 270
Initial Conditions on (c,gamma)
6.5060? ? 5.0000? ? 4.3510? ? 5.1626
Estimation of the Model with r = 2 and m = 1 : Convergence = 1? ?RSS = 0.037
RSS under H1 = 0.035
H0: PSTR with r = 1??against??H1: PSTR with at least r = 2
Wald Tests (LM):? ?? ?? ?W = 15.987? ? pvalue = 0.003
Fisher Tests (LMF):? ?? ?F = 3.920? ? pvalue = 0.004
LRT Tests (LRT):? ?? ?? ?LRT = 16.587? ? pvalue = 0.002
H0: PSTR with r = 2??against??H1: PSTR with at least r = 3
Wald Tests (LM):? ?? ?? ?W = 11.522? ? pvalue = 0.021
Fisher Tests (LMF):? ?? ?F = 2.711? ? pvalue = 0.031
LRT Tests (LRT):? ?? ?? ?LRT = 11.829? ? pvalue = 0.019
Given the choices of rmax = 2 and m = 1, the OPTIMAL (LMF criterion) NUMBER OF THRESHOLD FUNCTIONS is r = 2
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*** FINAL ESTIMATION OF PSTR MODEL ***
**************************************
Final Estimation of the Model with r = 2 and m = 1 by NLS ***
Initial Conditions on (gamma,c) :
3.2389? ?10.9404? ? 4.8463? ? 5.1317
WARNING: at least one explicative variable is used as threshold variable(這是什么意思？)
RSS = 0.037? ?? ?Convergence = 1
AIC = -8.478? ?? ?BIC = -8.234
Estimated slope parameter of the transition function (one for for each transition function)
3.2389? ?10.9404
Estimated location parameters (per column for each transition function)
4.8463? ? 5.1317
Estimated slope parameters (per column for each transition function)
0.0027? ?-0.0248? ? 0.0227
0.0141? ?-0.0796? ? 0.0888
1.0235? ? 0.0288? ?-0.0309
0.0455? ? 0.0540? ?-0.0701
Standard Errors of estimated slope parameters corrected fo heteroskedasticity (per column for each transition function)
0.0006? ? 0.0046? ? 0.0032
0.0051? ? 0.0166? ? 0.0141
0.0596? ? 0.0147? ? 0.0134
0.0053? ? 0.0392? ? 0.0385
t-statistics based on corrected standard errors (per column for each transition function)
4.5518? ?-5.4346? ? 7.1491
2.7843? ?-4.7910? ? 6.3022
17.1793? ? 1.9629? ?-2.3015
8.6537? ? 1.3769? ?-1.8184
OUPUT: Individual Elasticities for each explicative variable (first column is the cross section identifier) are available in the excel file result1.xls
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