艰难的开头
看了好久文献,从入学前,就去找导师,说想学习一些计量的东西。然后就跟着去上了一波高级计量,反正也听不懂。后来导师就丢给我了一篇文献,要我好好读,文献的R程序也给我了,让我当做学习的例子去看,最后能跑一跑自己的东西。
文献地址download
文献介绍
title:Regression Kink with an Unknown Threshold
author:Bruce E. Hansen
abstract:This paper explores estimation and inference in a regression kink model with an unknown
threshold. A regression kink model (or continuous threshold model) is a threshold regression constrained to be everywhere continuous with a kink at an unknown threshold. We present methods
for estimation, to test for the presence of the threshold, for inference on the regression parameters,
and for inference on the regression function. A novel finding is that inference on the regression
function is non-standard since the regression function is a non-differentiable function of the parameters. We apply recently developed methods for inference on non-differentiable functions. The
theory is illustrated by an application to the growth & debt problem introduced by Reinhart and
Rogoff (2010), using their long-span time-series for the United States.
paper心得
读完后发现。真的自己是个小学生一样。
对真正的回归和计量,是一无所知的状态。虽然hansen是顶级计量大佬,可有时候也要意识到确实在本科学了微积分线代概率论,这种基础学科就像1+1=2一样基础,后续学习的难度都是指数增长。路漫漫其修远兮