Panel data models with two threshold variables

Lamadrid-Contreras Arturo () and Nelson R. Ramírez-Rondán
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Lamadrid-Contreras Arturo: Banco de México, Mexico City, Mexico

Studies in Nonlinear Dynamics & Econometrics, 2023, vol. 27, issue 3, 315-333

Abstract: We develop threshold estimation methods for panel data models with two threshold variables and individual fixed specific effects covering short time periods. In the static panel data model, we propose least squares estimation of the threshold and regression slopes using fixed effects transformations; while in the dynamic panel data model, we propose maximum likelihood estimation of the threshold and slope parameters using first difference transformations. In both models, we propose to estimate the threshold parameters sequentially. We apply the methods to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.

Keywords: capital market imperfections; panel data; threshold model (search for similar items in EconPapers)
JEL-codes: C13 C23 G11 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1515/snde-2020-0048

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