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TVTHRESH: Stata module to estimate time-varying threshold models and tests

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

Threshold regression normally assumes the threshold is the same for every observation. tvthresh is for the case where it is not. It provides nineteen commands covering specification testing, estimation, simulation, plotting and table output. The gateway command tvthomog tests whether the threshold is constant at all, so a user can find out whether any of this is needed before fitting anything. If it is, the estimators cover the four ways a threshold can move: with time (tvtfourier, tvtlasso), with the threshold variable's own recent past (tvtcotar, tvtcotrk, and tvtinar for counts), with other observed variables (tvtcoint, tvtboundary, tvtindex, tvtstar, tvtcovdep), and as an unobserved state of its own (tvtlatent). tvtsel runs the library's diagnostics on the user's data and reports which specifications they point to.

Suggested Citation

  • Merwan Roudane, 2026. "TVTHRESH: Stata module to estimate time-varying threshold models and tests," Statistical Software Components S459936, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459936
    Note: This module should be installed from within Stata by typing "ssc install tvthresh". 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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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtboundary.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtboundary.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_tvt_drop.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ltvthresh.mlib
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcoint.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcotar.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcotar.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcotrk.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcotrk.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcovdep.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtcovdep.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtexport.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtexport.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtfourier.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtfourier.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvthomog.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvthomog.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvthresh_choose.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvthresh_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvthresh.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtinar.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtinar.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtindex.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtindex.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlasso.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlasso.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlatent.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlatent.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlr.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtlr.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtmathar.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtmathar.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtplot.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtplot.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtpredreg.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtpredreg.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtsel.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtsel.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtsim.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtsim.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtstar.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tvtstar.sthlp
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