Help on Threshold regressio

[David Awadzie]

Good afternoon to you all
My name is David and am new to Stata. My problem is that i want to use Stata to estimate threshold level but i don't how
go about it. I try also to generate new variable from my data but it seems am not doing it right.
Please if could permit me i would like to add my data and model for you to advice me on what to do.

id	year	Volume	Value	Market Cap	Inflation
1	2013	531.81	45,739,551	35408010	11.7
1	2014	553.74	79,472,245	71,419,962.81	15.5
1	2015	548.26	23,129,454	21,257,815.37	17.1
1	2016	411.2	11,835,752	10,946,399.90	17.5
1	2017	592.12	190,667,899	254,723,222.30	12.4
2	2013	1645.01	14658999	65129460	11.7
2	2014	2,228.54	6,776,134	46,640,857.62	15.5
2	2015	2,055.53	2 ,186,876	16,734,981.26	17.1
2	2016	1876.66	1,308,656	8,924,413.42	17.5
2	2017	2,228.54	3,396,754	24,642,645.00	12.4
3	2013	3032.97	20780811	3701180	11.7
3	2014	5,967.91	22,842,475	6,054,169.85	15.5
3	2015	6498.29	13,623,044	4,123,181.46	17.1
3	2016	2406.78	13,206,588	2,622,574.05	17.5
3	2017	3,850.84	15,227,384	2,055,929.71	12.4
4	2013	1285.25	11946366	56389940	11.7
4	2014	1,404.50	12,009,864	58,515,182.40	15.5
4	2015	1004.35	9 ,634,831	41,723,786.82	17.1
4	2016	943.4	8097974	28,571,555.65	17.5
4	2017	1,338.25	8,634,777	41,338,960.34	12.4

Y_it =µi +β′₁×_it h _{(qit < γ1)} +𝛽′₂×_it h _{(γ1<qit ≤ γ2)} +𝛽′₃×_it h _{(qit ≥ γ2)} + 𝜀_it

[Clyde Schechter]

If the values of γ1 and γ2 are known, then you can do this by creating new variables from h using the -mkspline- command with knots at γ1 and γ2, and then using those new variables in your regression instead of h.

If the values of γ1 and γ2 are not known, and you want Stata to calculate them for you, there is a Stata command, -threshold- that will estimate this kind of model for you. I believe it is new in Stata 16, however, so if you are using an older version, there is no official Stata command for this, and I am not aware of any user-written ones either.

I try also to generate new variable from my data but it seems am not doing it right.

Without showing the code you tried, and an explanation of in what sense it did not work, it isn't really possible to help you with this. Please post back with more information.

[David Awadzie]

Clyde thank you very much. The thing is that i try to follow Hansen example to generate a new variable from my data but i don't know if i should do something to the data before i can go ahead and generate the variables. Please take the second look at my date again and advice me on what to do.
Thanks

[Clyde Schechter]

What does "Hansen example" mean?

In any case, it is impossible to troubleshoot code that you don't show. If you want help fixing some code you need to show:

1. The exact code you ran.
2. The output that Stata gave you, including any error messages.
3. And, unless it is obvious, an explanation of why what Stata gave you isn't what you want, and, again, unless it is obvious, a clear description of what you do want.

[David Awadzie]

Thanks Prof.
This the command i used, gen inf1=L.inflation
error message: nothing fund where name expected

[Clyde Schechter]

I have never seen that error message in association with that kind of command. I can think of a few things that would cause this command to fail, but with different error messages than the one you show:

1. If you do not have a variable named inflation in your data set. Check that you have spelled the variable name correctly, and keep in mind that variable names in Stata are case-sensitive.

2. You did not -tsset- your data (or -xtset- with a time variable). Without that the lag operator L is not available.

[David Awadzie]

I don't know what to do now, i try the tsset command it giving me time variable not set. Prof. in actual fact am new to stata and sorry for disturbing you. I am highly appreciate for your time.