Estimation of Dynamic Panel Threshold Model using Stata

• Tác giả: Sueyoul Kim, Young-Joo Kim, Myung Hwan Seo
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2019
• Bộ sưu tập: Báo, Tạp chí
• ID: 162655

Tóm tắt

We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.