Estimation of dynamic panel threshold model using Stata

Myung Hwan Seo · Sueyoul Kim · Young‐Joo Kim

351 citations0/0 files storedThe Stata Journal Promoting communications on statistics and Stata

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Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Advanced Causal Inference Techniques

Abstract

In this article, we develop a command, xthenreg, that implements the first-differenced generalized method of moments estimation of the dynamic panel threshold model that Seo and Shin (2016, Journal of Econometrics 195: 169–186) proposed. Furthermore, we derive the asymptotic variance formula for a kink-constrained generalized method of moments estimator of the dynamic threshold model and provide an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. We illustrate the use of xthenreg through a Monte Carlo simulation and an economic application.

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References

1999Threshold effects in non-dynamic panels: Estimation, testing, and inference 2001Threshold Effects in the Relationship between Inflation and Growth 2016Dynamic panels with threshold effect and endogeneity 2004Fiscal deficits and growth in developing countries 2015Fixed-Effect Panel Threshold Model using Stata

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