XTDPTHRESH: Stata module to estimate Dynamic Panel Threshold Model with Endogeneity

Duy Chinh Nguyen () and Nhat Duy Lai ()
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Duy Chinh Nguyen: International University, Ho Chi Minh City, Vietnam
Nhat Duy Lai: Faculty of Finance and Accounting, Saigon University

Statistical Software Components from Boston College Department of Economics

Abstract: xtdpthresh estimates the dynamic panel threshold model of Seo and Shin (2016), extended to unbalanced panels via Forward Orthogonal Deviations (Arellano-Bover 1995) and System GMM (Blundell-Bond 1998). Inference for the threshold location uses the grid bootstrap of Gong and Seo (2026), which is uniformly valid regardless of whether the threshold model is continuous (kink) or discontinuous (jump).

Language: Stata
Requires: Stata version 15
Keywords: dynamic panel; threshold; forward orthogonal deviations (search for similar items in EconPapers)
Date: 2026-04-20, Revised 2026-04-25
Note: This module should be installed from within Stata by typing "ssc install xtdpthresh". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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http://fmwww.bc.edu/repec/bocode/x/xtdpthresh.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdpthresh.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/i/invest.dta sample data file (application/x-stata)

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