Hansen's (2000, pp. 587) setting only allows one threshold and one threshold variable. Subsequently, provisions for testing multiple thresholds of one threshold variable became possible using -xthreg- and threshold- stata macros. Does anyone know how to estimate multiple thresholds of multiple threshold variables? The model that I would like to estimate can be expressed as follows:
\[
y = \alpha + \beta_{1}(ThresholdVar1 < \gamma) + \beta_{2}(ThresholdVar1 \ge \gamma) + \beta_{3}(ThresholdVar2 < \delta) + \beta_{4}(ThresholdVar2 \ge \delta) + X + \epsilon,
\]
where ThresholdVar1 (say, income) and ThresholdVar2 (say, age) are two different threshold variables. Any help will be appreciated!
\[
y = \alpha + \beta_{1}(ThresholdVar1 < \gamma) + \beta_{2}(ThresholdVar1 \ge \gamma) + \beta_{3}(ThresholdVar2 < \delta) + \beta_{4}(ThresholdVar2 \ge \delta) + X + \epsilon,
\]
where ThresholdVar1 (say, income) and ThresholdVar2 (say, age) are two different threshold variables. Any help will be appreciated!
