r_est

This function is a subroutine for model(), estimation procedure.

Threshold model, panel version of Hylleberg et al. (1990) <DOI:10.1016/0304-4076(90)90080-D> seasonal unit root tests, and panel unit root test of Chang (2002) <DOI:10.1016/S0304-4076(02)00095-7>.

Ho Tsung-wu

Threshold Model and Unit Root Tests in Cross-Section and Time
Series Data

r_est function

<dl> <dt>y</dt>
<dd>vector of dependent variable.</dd>
 <dt>r</dt>
<dd>numer of regime.</dd>
 <dt>trim</dt>
<dd>value of trimmed percentage.</dd>
 <dt>tt</dt>
<dd>length of time period.</dd>
 <dt>qq1</dt>
<dd>parameter defined by as.matrix(unique(thresh)[floor(sq*nrow(as.matrix(sort(unique(thresh)))))]).</dd> <dt>qn1</dt>
<dd>as defined by nrow(qq1).</dd> <dt>qn</dt>
<dd>number of quantiles to examine.</dd> <dt>n</dt>
<dd>parameter of cross-section units.</dd> <dt>cf</dt>
<dd>special declaration, e.g. lag().</dd> <dt>xt</dt>
<dd>regime independent variables.</dd> <dt>ct</dt>
<dd>trace of regime dependent variables.</dd> <dt>thresh</dt>
<dd>threshold variable.</dd></dl>

Arguments

A subroutine for model() — r_est

<dl>

 <dt>y</dt>
<dd>vector of dependent variable.</dd>


 <dt>r</dt>
<dd>numer of regime.</dd>


 <dt>trim</dt>
<dd>value of trimmed percentage.</dd>


 <dt>tt</dt>
<dd>length of time period.</dd>


 <dt>qq1</dt>
<dd>parameter defined by as.matrix(unique(thresh)[floor(sq*nrow(as.matrix(sort(unique(thresh)))))]).</dd>

 <dt>qn1</dt>
<dd>as defined by nrow(qq1).</dd>

 <dt>qn</dt>
<dd>number of quantiles to examine.</dd>

 <dt>n</dt>
<dd>parameter of cross-section units.</dd>

 <dt>cf</dt>
<dd>special declaration, e.g. lag().</dd>

 <dt>xt</dt>
<dd>regime independent variables.</dd>

 <dt>ct</dt>
<dd>trace of regime dependent variables.</dd>

 <dt>thresh</dt>
<dd>threshold variable.</dd>



</dl>

r_est: A subroutine for model()

Description

Usage

Arguments

References