Estimation of dynamic panel threshold model using Stata
2019 ◽
Vol 19
(3)
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pp. 685-697
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Keyword(s):
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.
2021 ◽
Vol 831
(1)
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pp. 012039
2020 ◽
Vol 20
(4)
◽
pp. 965-975
2016 ◽
Vol 17
(6)
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pp. 1189-1204
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2020 ◽
Vol 13
(4)
◽
pp. 67
◽
2009 ◽
Vol 47
(1)
◽
pp. 81-103
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