In this presentation, I introduce a new Stata command called threg. The command estimates regression coefficients of a threshold regression model based on the first hitting time of a boundary by the sample path of a Wiener diffusion process. The regression methodology is well suited to applications involving survival and time-to-event data. This new command uses the MLE routine in Stata for calculating regression coefficient estimates, asymptotic standard errors, and p-values. An initialization option is also allowed, as in the conventional MLE routine. The threg command can be carried out with either calendar or analytical time scales. Hazard ratios at selected time points for specified scenarios (based on given categories or value settings of covariates) can also be calculated by this command. Furthermore, curves of estimated hazard functions, survival functions, and probability distribution functions of the first hitting time can be plotted. Function curves corresponding to different scenarios can be overlaid in the same plot for a comparative analysis to give added research insights.
