threshold.derivative.test {hdthreshold}R Documentation

Uniform test for existence of derivative threshold effects

Description

Uniform test for existence of threshold effects in the first derivative for nonparametric panel regressions. Both the known and unknown threshold location case are covered. Apart from the uniform test statistic and the corresponding p-value, a table for the results of the individual threshold estimates and test statistics is provided.

Usage

threshold.derivative.test(
  data,
  response,
  running,
  id,
  bw = NULL,
  C = 0,
  alpha = NULL,
  alternative = "two"
)

Arguments

data

a data frame containing the response, running and id variables

response

name of the dependent variable (aka response variable)

running

name of the running variable (aka forcing variable)

id

name of the id variable

bw

an optional scalar bandwidth parameter for the local linear estimation. If not specified, the bandwidth is selected by the command rdrobust::rdbwselect().

C

a scalar value for the true threshold location (for the known case) or a grid of candidate threshold locations (for the unknown case)

alpha

specifies a threshold to determine which and how many individual-specific threshold effects and test statistics are displayed in the output table. Only individuals which are significant at the alpha confidence level are selected.

alternative

specifies whether we consider a two-sided alternative (default) or left-/right-sided alternative.

Value

A list containing:

I_hat the value of the uniform test statistic
p_value the corresponding p-value
N the cross-sectional dimension
Critical_values critical values at 10%, 5%, 1%, and 0.1% confidence level
Table a table displaying the estimation result for a selection of individuals, including the id variable, the threshold location, the estimated coefficient, the estimated standard error, and the individual test statistic.

See Also

threshold.example(), rdrobust::rdbwselect().

Examples

d = threshold.example(10, 200, 0.1, 2)
threshold.derivative.test(data = d, response = "y", running = "x", id = "id", C = 0)

[Package hdthreshold version 1.0.0 Index]