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

**************************************

*** 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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