Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Spline Regressions

    I am currently working on something similar that Hausman, Pritchett and Rodrik did in the famous paper: Hausmann, Ricardo, Lant Pritchett, and Dani Rodrik. "Growth accelerations." I am having troubles working with spline regressions since I had no exposure to those thus far. I am using the same criteria for identify growth accelerations as they did. They looked for rapid growth episodes that satisfy the following conditions.

    (1) gt,t+n ≥ 3. 5 ppa, growth is rapid,

    (2) gt,n ≥ 2. 0 ppa, growth accelerates,

    (3) yt+n ≥ max{yi }, i ≤t , post-growth output exceeds pre-episode peak.

    According to Hausman at al, "since for some countries there are a number of consecutive years for which these criteria of a growth episode are met, the “best” starting date is chosen by looking for the best fit among all contiguous eligible dates." The timing of the initiation of the growth acceleration is chosen by finding the year that maximizes the F -statistic of a spline regression with a break at the relevant year. I have read a lot on mkspline but one of the problems is that I want to tell Stata to choose the knots instead of assigning them myself.

    I am sorry if the question is too broad, I am overall struggling with figuring out how to code this in Stata and any help would be much appreciated.

  • #2
    This is an interdisciplinary field, so it is best to assume that famous papers in your particular sub-sub-sub-discipline are completely unknown to the people on this list. With this in mind a lot of your question becomes unreadable. For example, since you did not define the symbols, the conditions (1), (2), and (3) are meaningless to us.

    As to your question: From the quote it seems that Hausman et al. choose the knots themselves, i.e. they tried several models with different starting years and chose the one with the largest F-statistic. It is possible to trick nl into finding "optimal" knot positions, but from the quote it does not look like the study you want to replicate did that.
    ---------------------------------
    Maarten L. Buis
    University of Konstanz
    Department of history and sociology
    box 40
    78457 Konstanz
    Germany
    http://www.maartenbuis.nl
    ---------------------------------

    Comment


    • #3
      Thank you for your reply. I apologize that I wasn't specific enough in my question. Yt is GDP per capita and and gt, t+n is the least squares growth rate of GDP per capita. (1), (2), (3), were the conditions used for economics growth to qualify as an acceleration.

      You wrote "i.e. they tried several models with different starting years and chose the one with the largest F-statistic" if you could elaborate more on this I would appreciate it. This is a part that is confusing me. I have never worked with regressions splines before so I am not sure what the authors are doing in that part. Any insight would be helpful.

      I apologize if I'm not specific enough again. I will copy the paragraph from the paper, hoping it might give more insight into what I am trying to replicate.

      "We set the relevant time horizon to be eight years (i.e., n= 7). The timing of the initiation of the growth acceleration is chosen by finding the year that maximizes the F -statistic of a spline regression with a break at the relevant year. That is, since for some countries there are a number of consecutive years for which these criteria of a growth episode are met, the “best” starting date is chosen by looking for the best fit among all contiguous eligible dates. Countries can have more than one instance of growth acceleration as long as the dates are more than 5 years apart (so a country could accelerate from 0 to 3.5 percent in 1967 and then accelerate from 3.5 to 6.0 percent in 1972 as two distinct episodes)."

      Comment

      Working...
      X