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Threshold regression with endogeneity for short panels

Tue Gørgens () and Allan Würtz
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Tue Gørgens: The Australian National University, Postal: Research School of Economics, Acton ACT 2601, Australia

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This note considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the root N-rate. We provide simulation results that illustrate the potential advantages of the new method in comparison with pure GMM estimation. The simulations also highlight the importance the choice of instruments in GMM estimation.

Keywords: Threshold regression; dynamic models; endogeneity; panel data; GMM estimation; integrated difference kernel IDK estimator; superconsistency (search for similar items in EconPapers)
JEL-codes: C23 C24 C26 (search for similar items in EconPapers)
Date: 2018-11-06
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ftp://ftp.econ.au.dk/creates/rp/18/rp18_27.pdf (application/pdf)

Related works:
Journal Article: Threshold Regression with Endogeneity for Short Panels (2019) Downloads
Working Paper: Threshold regression with endogeneity for short panels (2018) Downloads
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