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THRESHKIT: Stata module to estimate hreshold models for cross-section and time series

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

threshkit brings the threshold-model family into a single package: abrupt (jump) thresholds, continuous kinks, smooth transitions, asymmetric adjustment and bands of inaction, together with the multivariate counterparts -- threshold VAR, threshold VECM and vector smooth transition VAR. It covers the three stages a threshold analysis actually goes through. First, whether there is a threshold at all. The threshold is not identified under the null, so the linearity and threshold-existence tests carry the bootstrap p-values that requires, with Davies' analytic bound available as a cheap alternative (Hansen 1996, 2000; Davies 1987). Second, estimation and inference. Least-squares, quantile, instrumental- variable and endogenous-threshold estimators, with inverted-likelihood-ratio confidence sets for the threshold rather than a standard error its limit distribution does not support, and the conservative intervals of Donayre, Eo and Morley (2018) alongside. Third, post-estimation. Regime diagnostics against the regime-split design, generalised impulse responses (Koop, Pesaran and Potter 1996), the deterministic skeleton with its limit cycles, forecasting, and publication-ready tables and graphs.

Suggested Citation

  • Merwan Roudane, 2026. "THRESHKIT: Stata module to estimate hreshold models for cross-section and time series," Statistical Software Components S459926, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459926
    Note: This module should be installed from within Stata by typing "ssc install threshkit". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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