Estimation of dynamic panel threshold model using Stata

Myung Hwan Seo, Sueyoul Kim () and Young-Joo Kim ()
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Sueyoul Kim: University of Maryland
Young-Joo Kim: Hongik University

Stata Journal, 2019, vol. 19, issue 3, 685-697

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.

Keywords: xthenreg; dynamic panel threshold model (search for similar items in EconPapers)
Date: 2019
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Working Paper: Estimation of Dynamic Panel Threshold Model using Stata (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:19:y:2019:i:3:p:685-697

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DOI: 10.1177/1536867X19874243

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