Panel-data threshold regression with interactive fixed effects

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

UK Stata Conference 2026 from Stata Users Group

Abstract: Threshold regression provides a flexible framework for capturing regime-dependent relationships and has become a widely used tool for uncovering structural breaks, nonlinearities, and state-dependent patterns in data across diverse fields. This presentation introduces a new community-contributed command called xtthreshold, which provides researchers with a complete toolbox for analyzing threshold regression in panel data with interactive fixed effects. The new command can estimate both discontinuous threshold regression and kink regression, both with interactive fixed effects. It further accommodates three alternative specifications of slope heterogeneity: fully homogeneous, fully heterogeneous, and semihomogeneous models. Model selection is facilitated by a modified information criterion capable of discriminating among competing specifications, and inference is supported through confidence intervals and hypothesis testing for all model parameters, in addition to bootstrap-based tests for the existence of nonlinearity.

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Persistent link: https://EconPapers.repec.org/RePEc:boc:lsug26:15

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