Dear Community,
I am a user of Stata 15. I am trying to estimate the threshold effects of inflation on value of shares traded using time series data.
I this command
Threshold value, regionvars(value1 inflation) threshvar(inflation1) nthreshold(2) and I had this result.
Threshold regression
Number of obs = 107
Full sample: 1991q2 - 2017q4 AIC = 647.5916
Number of thresholds = 2 BIC = 671.6471
Threshold variable: inflation1 HQIC = 657.3434
------------------------------------------------------------
Order Threshold SSR
------------------------------------------------------------
1 9.4333 41026.7603
2 17.5667 38440.3371
------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------------
value | Coef. Std. Err. z P>|z| [95% Conf. Interval]
----------------+----------------------------------------------------------------------------------------------------------------------
Region1 |
Value1 | .6568697 .1525357 4.31 0.000 .3579052 .9558341
Inflation | 12.52092 9.328143 1.34 0.180 -5.761901 30.80375
_cons | -92.03873 90.95777 -1.01 0.312 -270.3127 86.23523
----------------+----------------------------------------------------------------------------------------------------------------------
Region2 |
Value1 | .9524624 .0652385 14.60 0.000 .8245973 1.080327
Inflation | -.3654258 .875708 -0.42 0.676 -2.081782 1.35093
_cons | 9.753256 12.75829 0.76 0.445 -15.25254 34.75905
----------------+----------------------------------------------------------------------------------------------------------------------
Region3 |
Value1 | .6391224 .1416477 4.51 0.000 .361498 .9167467
Inflation | -.0530797 .1927668 -0.28 0.783 -.4308957 .3247364
_cons | 3.27344 6.996199 0.47 0.640 -10.43886 16.98574
----------------------------------------------------------------------------------------------------------------------------------------
But problems are:
1 I don't even know how to interpret the result.
2 I don't know if there is threshold effect in this result.
3 Lastly I don't know if I am doing the right thing.
Pleas i need your help.
Thank for your time.
I am a user of Stata 15. I am trying to estimate the threshold effects of inflation on value of shares traded using time series data.
I this command
Threshold value, regionvars(value1 inflation) threshvar(inflation1) nthreshold(2) and I had this result.
Threshold regression
Number of obs = 107
Full sample: 1991q2 - 2017q4 AIC = 647.5916
Number of thresholds = 2 BIC = 671.6471
Threshold variable: inflation1 HQIC = 657.3434
------------------------------------------------------------
Order Threshold SSR
------------------------------------------------------------
1 9.4333 41026.7603
2 17.5667 38440.3371
------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------------------------------
value | Coef. Std. Err. z P>|z| [95% Conf. Interval]
----------------+----------------------------------------------------------------------------------------------------------------------
Region1 |
Value1 | .6568697 .1525357 4.31 0.000 .3579052 .9558341
Inflation | 12.52092 9.328143 1.34 0.180 -5.761901 30.80375
_cons | -92.03873 90.95777 -1.01 0.312 -270.3127 86.23523
----------------+----------------------------------------------------------------------------------------------------------------------
Region2 |
Value1 | .9524624 .0652385 14.60 0.000 .8245973 1.080327
Inflation | -.3654258 .875708 -0.42 0.676 -2.081782 1.35093
_cons | 9.753256 12.75829 0.76 0.445 -15.25254 34.75905
----------------+----------------------------------------------------------------------------------------------------------------------
Region3 |
Value1 | .6391224 .1416477 4.51 0.000 .361498 .9167467
Inflation | -.0530797 .1927668 -0.28 0.783 -.4308957 .3247364
_cons | 3.27344 6.996199 0.47 0.640 -10.43886 16.98574
----------------------------------------------------------------------------------------------------------------------------------------
But problems are:
1 I don't even know how to interpret the result.
2 I don't know if there is threshold effect in this result.
3 Lastly I don't know if I am doing the right thing.
Pleas i need your help.
Thank for your time.
