Estimation of Dynamic Panel Threshold Model using Stata

Myung Hwan Seo, Sueyoul Kim and Young-Joo Kim

Papers from arXiv.org

Abstract: We develop a Stata command xthenreg to implement the first-differenced GMM estimation of the dynamic panel threshold model, which Seo and Shin (2016, Journal of Econometrics 195: 169-186) have proposed. Furthermore, We derive the asymptotic variance formula for a kink constrained GMM estimator of the dynamic threshold model and include an estimation algorithm. We also propose a fast bootstrap algorithm to implement the bootstrap for the linearity test. The use of the command is illustrated through a Monte Carlo simulation and an economic application.

Date: 2019-02
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (77)

Published in The Stata Journal 2019 Volume: 19 issue: 3, page(s): 685-697

Downloads: (external link)
http://arxiv.org/pdf/1902.10318 Latest version (application/pdf)

Related works:
Journal Article: Estimation of dynamic panel threshold model using Stata (2019)
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:arx:papers:1902.10318

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().