PanelTM: an R package for two- and three-way dynamic panel threshold regression model

F. Marta L. Di Lascio () and Selene Perazzini ()
Additional contact information
F. Marta L. Di Lascio: Free University of Bozen-Bolzano, Italy
Selene Perazzini: Free University of Bozen-Bolzano, Italy

No BEMPS113, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen

Abstract: This paper presents the R package PanelTM, which provides tools for estimating twoand three-way dynamic panel threshold regression models. Estimation is performed using a generalized method of moments approach based on first-difference transformations and instrumental variables as developed by Seo and Shin (2016) and applied in a threeway fashion by Di Lascio and Perazzini (2024, 2022). In addition to model estimation, PanelTM offers functionalities for change point detection, simulation and performance evaluation within panel structures with regime switches. The package is particularly suited to applications requiring the identification of structural breaks in complex panel data, with support for both exogenous and endogenous variables and for threshold heterogeneity across multiple dimensions.

Keywords: Generalized method of moments; panel data; threshold model; R. (search for similar items in EconPapers)
JEL-codes: C13 C23 C87 L66 (search for similar items in EconPapers)
Pages: [27 pages]
Date: 2025-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.unibz.it/bemps113.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bzn:wpaper:bemps113

Access Statistics for this paper

More papers in BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen Contact information at EDIRC.
Bibliographic data for series maintained by F. Marta L. Di Lascio () and Alessandro Fedele ().