I am working on nonlinear monetary policy rules using time series analysis and I need to estimate a threshold variable and through that utilize a threshold regression.
Dear Kweku Arkoh-Koomson
You can use Stata command: “xtendothresdpd“ or “xthenreg”.
Please read these papers for more detail:
Preprint Estimation of Dynamic Panel Threshold Model using Stata
Best,
Thank you for your answer.
Will this work for a time series case though since I am just studying a particular country?
Oh, I'm sorry. The above Stata commands are applied for panel data.
For time series data, you can see the guideline (with video clip in the right side) from Stata below:
https://www.stata.com/features/overview/threshold-regression/
Thank you very much Cong Minh Huynh
Dear Kweku
I also recommend you go through the guideline from STATA.
Regards
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