Threshold effects in non-dynamic panels: Estimation, testing and inference

Bruce Hansen ()

No 365, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 U.S. firms to test whether financial constraints affect investment decisions.

Keywords: panel data; threshold regression (search for similar items in EconPapers)
JEL-codes: C33 C35 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1997-05-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Related works:
Journal Article: Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)
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