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Threshold regression with endogeneity for short panels

Tue Gorgens () and Allan Würtz

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

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 √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.

JEL-codes: C23 C24 C26 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2018-04
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https://www.cbe.anu.edu.au/researchpapers/ECON/wp665.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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Persistent link: https://EconPapers.repec.org/RePEc:acb:cbeeco:2018-665

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