ptm2-class

A class for <code>ptm2</code> and its extensions

Estimation of two- and three-way dynamic panel threshold regression models (Di Lascio and Perazzini (2024) <https://repec.unibz.it/bemps104.pdf>; Di Lascio and Perazzini (2022, ISBN:978-88-9193-231-0); Seo and Shin (2016) <doi:10.1016/j.jeconom.2016.03.005>) through the generalized method of moments based on the first difference transformation and the use of instrumental variables. The models can be used to find a change point detection in the time series. In addition, random number generation is also implemented.

Francesca Marta Lilja Di Lascio

PanelTM

Two- And Three-Way Dynamic Panel Threshold Regression Model for
Change Point Detection

Selene Perazzini

F. Marta L. Di Lascio

ptm2-class function

Objects can be created by calls of the form <code>new("ptm2", ...)</code>.

Objects from the Class

<dl>
	<dt><code>threshold</code>:</dt>
<dd>Object of class <code>numeric</code>. The estimated threshold and the associated p-value.</dd>	<dt><code>estimates</code>:</dt>
<dd>Object of class <code>numeric</code>. The vector of the parameter(s) estimated for the lower regime, the difference between the parameter(s) estimated for the upper and the lower regime, and the associated p-values.</dd>
 
	<dt><code>cov.</code>:</dt>
<dd>Object of class <code>matrix</code>. The sample version of covariance matrix of the estimated paramaters.</dd>	<dt><code>residuals.</code>:</dt>
<dd>Object of class <code>matrix</code>. A matrix of the first-differenced residuals.</dd>	<dt><code>test.lin.</code>:</dt>
<dd>Object of class <code>list</code>. Result of the linearity test.</dd> 
</dl>

Slots

No methods defined with class "ptm2" in the signature.

Methods

Selene Perazzini &lt;selene.perazzini@alumni.imtlucca.it&gt;
Francesca Marta Lilja Di Lascio &lt;marta.dilascio@unibz.it&gt;

Author

Class "ptm2" — ptm2-class

<dl>
	<dt><code>threshold</code>:</dt>
<dd>Object of class <code>numeric</code>. The estimated threshold and the associated p-value.</dd>

	<dt><code>estimates</code>:</dt>
<dd>Object of class <code>numeric</code>. The vector of the parameter(s) estimated for the lower regime, the difference between the parameter(s) estimated for the upper and the lower regime, and the associated p-values.</dd>
 
	<dt><code>cov.</code>:</dt>
<dd>Object of class <code>matrix</code>. The sample version of covariance matrix of the estimated paramaters.</dd>

	<dt><code>residuals.</code>:</dt>
<dd>Object of class <code>matrix</code>. A matrix of the first-differenced residuals.</dd>

	<dt><code>test.lin.</code>:</dt>
<dd>Object of class <code>list</code>. Result of the linearity test.</dd>

 
</dl>

ptm2-class: Class "ptm2"

Description

Arguments

Objects from the Class

Slots

Methods

Author

References

See Also

Examples