Fork of thrreg package originally by Marcel Kremer, from mlkremer/thrreg, itself a port of Bruce Hansen's code from his website.
This is just aimed at adding some slight modifications so that its interface is more in line with other R packages.
thrreg estimates the threshold regression model by Hansen (2000). It provides three functions:
thr_test_hom()tests for a threshold in a linear regression under homoskedasticity.thr_test_het()tests for a threshold in a linear regression under heteroskedasticity.thr_est()estimates the threshold and the regression parameters of the threshold model.
Install development version from GitHub:
# install.packages("devtools")
devtools::install_github("zeyuz35/thrreg")This example performs the empirical work reported in Hansen (2000) and prints
the LaTeX output to output/output.tex:
library(thrreg)
## Load data
data <- dur_john
## Define variable names for output (optional)
var_names <- c("GDP\\_Gwth", "Log\\_GDP\\_1960", "Log\\_Inv/GDP",
"Log\\_Pop\\_Gwth", "Log\\_School", "GDP\\_1960", "Literacy")
xi <- 2:5
h <- 1
## First Level
sink("output/output.tex")
cat("\\section{First Sample Split}", "\n\n")
## Test for a Sample Split
test_1_gdp <- thr_test_het(data, "GDPGwth", xi, "GDP1960", var_names)
test_1_lit <- thr_test_het(data, "GDPGwth", xi, "Literacy", var_names)
## Estimate Sample Split
qhat_1 <- thr_est(data, "GDPGwth", xi, "GDP1960", h, test_1_gdp$p_value,
var_names, digits.thr = 0, header = var_names[1])
sink()
## Second Level
dat_2l <- subset(data, GDP1960 <= qhat_1)
dat_2u <- subset(data, GDP1960 > qhat_1)
sink("output/output.tex", append = T)
cat(paste0("\\section{Second Sample Split: Subsample, Incomes below ", qhat_1,
"}", "\n\n"))
## Test for a Sample Split
test_2l_gdp <- thr_test_het(dat_2l, "GDPGwth", xi, "GDP1960", var_names)
test_2l_lit <- thr_test_het(dat_2l, "GDPGwth", xi, "Literacy", var_names)
cat(paste0("\\section{Second Sample Split: Subsample, Incomes above ", qhat_1,
"}", "\n\n"))
## Test for a Sample Split
test_2u_gdp <- thr_test_het(dat_2u, "GDPGwth", xi, "GDP1960", var_names)
test_2u_lit <- thr_test_het(dat_2u, "GDPGwth", xi, "Literacy", var_names)
## Estimate Sample Split
qhat_2 <- thr_est(dat_2u, "GDPGwth", xi, "Literacy", h, test_2u_lit$p_value,
var_names, digits.thr = 0, header = var_names[1])
sink()
## Third Level
dat_3l <- subset(dat_2u, Literacy <= qhat_2)
dat_3u <- subset(dat_2u, Literacy > qhat_2)
sink("output/output.tex", append = T)
cat(paste0("\\section{Third Sample Split: Subsample, Incomes above ", qhat_1,
", Literacy below ", qhat_2, "}", "\n\n"))
## Test for a Sample Split
test_3l_gdp <- thr_test_het(dat_3l, "GDPGwth", xi, "GDP1960")
test_3l_lit <- thr_test_het(dat_3l, "GDPGwth", xi, "Literacy")
cat(paste0("\\section{Third Sample Split: Subsample, Incomes above ", qhat_1,
", Literacy above ", qhat_2, "}", "\n\n"))
## Test for a Sample Split
test_3u_gdp <- thr_test_het(dat_3u, "GDPGwth", xi, "GDP1960")
test_3u_lit <- thr_test_het(dat_3u, "GDPGwth", xi, "Literacy")
sink()Compile LaTeX output in directory output/ via:
\documentclass[a4paper]{scrartcl} %twocolumn %scrartcl, scrreprt, scrbook
\usepackage[margin=1in]{geometry}
\usepackage{hyperref}
\usepackage{booktabs}
\usepackage[table]{xcolor}
\usepackage{siunitx}
\setlength{\parindent}{0in}
\newcommand{\RedA}{red}
\newcommand{\RedB}{red!60}
\newcommand{\RedC}{red!30}
\newcommand{\BlueA}{blue!75}
\newcommand{\BlueB}{blue!55}
\newcommand{\BlueC}{blue!30}
\begin{document}
\input{output.tex}
\end{document}thrreg is based on the source code provided by Bruce E. Hansen.
Hansen, B. E. (2000). Sample splitting and threshold estimation. Econometrica, 68(3):575--603. https://onlinelibrary.wiley.com/doi/10.1111/1468-0262.00124. Open access: https://www.ssc.wisc.edu/~bhansen/papers/ecnmt_00.pdf.