I need your help.
My model is Yit=a1(1-I*)(D-D*)+a2xI*(D-D*)+bxXit+eit while I*=1 if D>D* and I*=0 if D<D*
I use xthreg command but I dont know what is in rx() and qx() with my model because I have dummy variable. It is quite different with Hansen because he uses cf1 as the regime-dependent variable so I'm confused about my case.
Many thanks
My model is Yit=a1(1-I*)(D-D*)+a2xI*(D-D*)+bxXit+eit while I*=1 if D>D* and I*=0 if D<D*
I use xthreg command but I dont know what is in rx() and qx() with my model because I have dummy variable. It is quite different with Hansen because he uses cf1 as the regime-dependent variable so I'm confused about my case.
Many thanks
