Threshold Estimation by Hansen (1999)
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From: Natasha on 10 Feb 2010 10:04 Hello Everyone, I am a Stata user. However for my thesis I need to implement a Matlab coded program. I need to implement the threshold estimation by Hansen (1999) (Threshold effects in non-dynamic panels: Estimation, testing and inference in Journal of Econometrics 93 (1999) 345-368) For similar reasons I need to know a bit on what is happening in the program given by Hansen (1999) so as to edit the given program to suit my data. Although I have made some progress, I am still facing few error problems. I was wondering if someone could help me with the same? Thanks Natasha
From: Wayne King on 10 Feb 2010 10:18 "Natasha " <lexna5(a)nottigham.ac.uk> wrote in message <hkuht4$3gj$1(a)fred.mathworks.com>... > Hello Everyone, > > I am a Stata user. However for my thesis I need to implement a Matlab coded program. > > I need to implement the threshold estimation by Hansen (1999) (Threshold effects in non-dynamic panels: Estimation, testing and inference in Journal of Econometrics 93 (1999) 345-368) > > For similar reasons I need to know a bit on what is happening in the program given by Hansen (1999) so as to edit the given program to suit my data. Although I have made some progress, I am still facing few error problems. > > I was wondering if someone could help me with the same? > > Thanks > Natasha Hi Natasha, I think you should provide the relevant details, especially the error messages you are receiving. You don't have to provide all the code, but you should include things like: what are the classes and sizes of your inputs, exactly what error message you are getting, etc. Wayne
From: Natasha on 10 Feb 2010 10:39 Hi there, The model given by Hansen (1999) includes lagged values and the model which am using is a static model. So when I remove the lagged items from the m.file, I get a warning of "Warning: Rank deficient, rank = 3, tol = 2.7702e-010. > In THRESH_P>sse_calc at 169 In THRESH_P>thr_sse at 212 In THRESH_P>model at 293 In THRESH_P at 112" I understand the 'in THRESH_P' part. What I do not understand is the rank deficient and how do I got about it Thanks Natasha
From: Wayne King on 10 Feb 2010 11:29 "Natasha " <lexna5(a)nottigham.ac.uk> wrote in message <hkujun$iai$1(a)fred.mathworks.com>... > > Hi there, > > The model given by Hansen (1999) includes lagged values and the model which am using is a static model. So when I remove the lagged items from the m.file, I get a warning of > > "Warning: Rank deficient, rank = 3, tol = 2.7702e-010. > > In THRESH_P>sse_calc at 169 > In THRESH_P>thr_sse at 212 > In THRESH_P>model at 293 > In THRESH_P at 112" > > I understand the 'in THRESH_P' part. > > What I do not understand is the rank deficient and how do I got about it > > Thanks > Natasha Hi Natasha, I don't have that code, but if you look at line 169 in sse_calc you will probably see some matrix division operation. In that operation you are using a nonsquare (rectangular) matrix that is rank deficient. For example: A = [1 2; 2 4; 3 6]; B = ones(3,2); B/A You'll produce a similar error message with the above and you'll see that the rank of A rank(A) is given in the error message. Hope that helps, Wayne
From: Natasha on 10 Feb 2010 11:38
Thanks Wayne. The sse code in line 169 looks like function ss=sse_calc(y,x) e=y-x*(y'/x')'; ss=e'*e; Thanks Natasha |